Hello Oppenhiem,
Just to clarify, is the "Ask for each download" option being change back to "Downloads" in the Safari settings when this happens? If so, do any errors appear when you attempt to change the file download location? That information will help us plan how to proceed.
To help ensure the file download location is being changed correctly, please check out this link, which will help guide you through that process: Download items from the web using Safari on Mac
See items you downloaded
1. In the Safari app on your Mac, click the Show Downloads button near the top-right corner of the Safari window.
2. The button isn’t shown if the downloads list is empty.
3. Do any of the following:
* Pause a download: Click the Stop button to the right of the filename in the downloads list. To resume, click the Resume button .
* Find a downloaded item on your Mac: Click the magnifying glass next to the filename in the downloads list. If you move a file or change the download location after downloading it, Safari can’t find the file.
* Tip: To change where downloaded items are saved on your Mac, choose Safari > Settings, click General, then click the “File download location” pop-up menu and choose a location.
* Clear the downloads list: In the downloads list, click Clear. To remove one item, Control-click it, then choose Remove From List.
By default, Safari automatically removes an item after one day. To change when items are automatically removed, choose Safari > Settings, click General, then click the “Remove download list items” pop-up menu and choose an option.
Thanks!