Hello audula,
Thank you for using the Apple Support Communities. It's important to ensure your Safari settings are working as expected. It sounds like you're finding that Safari's "Ask for each download" option is not working as expected on your Mac, and we'll be happy to help.
This is only happening specifically with PDF files, correct?
What method are you using to download the PDF? If you're clicking to open the PDF within Safari and then clicking the download arrow from there, test by instead right-clicking the link that you used to open the PDF, and select "Download Linked File." Does that prompt you to select a download location? Knowing what happens with that secondary method would help in narrowing things down.
You might also try this in a newly-created administrator account to see if you can re-create the issue there. That would tell you if the issue is system-wide or user account-specific: Set up users, guests, and groups on Mac. Then, log in to the new user account to see if the same thing happens there.
Let us know the results of both tests, and also be sure to include your exact macOS version as found under Apple menu () > About This Mac.
Kind regards.