I don't think there's an option for remembering that for dragging and dropping. Command I or double clicking to import will remember the previous location.
It used to be like that though and seeing it now doesn't is slightly annoying.
Do you mean that if you highlight a piece of footage in the project window, you don't see its file path if you look at the information that lies off to the right?
Let's say I have dragged and dropped a piece of footage into project window. Next time when I import footage with Ctrl+I or double clicking project panel, I would expect AE open that location where last footage was dropped from.