How do I change where Messages downloads photos on Mac?

Currently, the only option I see when I try to download photos out of the Messages app on my Mac is into the Photos app. I cannot, for the life of me, find the setting to change this to somewhere else on my computer:

I would also prefer that my photos appear inline instead of in this stupid stacked/folder configuration, but that's another topic. (Answers for how to fix that are welcome as well.)

Clicking the download symbol here only adds them to the Photos app without giving me any choice of a download location:

Dragging and dropping the photo stack only copies the first photo in the stack into a folder. Opening the photo stack and selecting all the photos before trying to drag them into Downloads does the same thing—only the first photo copies over. It is a massive pain to have to open the photo stack out of Messages and then individually try to drag and drop each photo one at a time. If photos are going to be bundled like this in a genuinely user-hostile way, just let me pick a real download location that isn't an app!!!

This is extremely enraging because I do not use the Photos app on my Mac. I want my photos to download into a normal folder where I don't have to open an app to access them (or "Show Package Contents" to access a hot mess of an organizational system that only makes sense to the Photos app).

I do not have (or want) iCloud enabled. I merely want my photos to download from the Messages app into Downloads or another standard folder like normal files. Previous versions of this app allowed that.

This is on a MacBook Air running Sonoma 14.3.1, in case that helps.