Safari not asking for download location

I've selected the option in Safari's preferences to systematically ask for the location of downloaded files, and it never asks me. The only thing it does is ask me if I agree to download the file.

I deleted the perSitePreference files, which didn't change anything except that it no longer automatically downloads files from sites I've already authorised.

I'm using an Admin session.

It's very annoying, especially as I can see that this problem has been randomly affecting users for over 10 years without any help from Apple.