Unfortunately, the Export/Share locations are "sticky" by the Project, so if one has multiple folders, then they do need to navigate to the correct one.
It is the exact same for PrPro. I always Export my Video (only) first to my \\\Finished_AVI's folder, and then go through and Export my Audio (only) to my \\\Finished_AC3's folder. That means that I only have to do the navigation for the first Video file (all the rest go to that folder), and then navigate to the AC3 folder, for all of my AC3's.
Sorry for the bad news. A workaround would be to choose a common folder, and then do the housekeeping from that, to the many sub-folders, as is necessary.
It seems that it's not quite project specific either.
I'll export the file to a certain folder in a project and save the project, but everytime I export another clip I need to find the correct folder again. With and without closing the project file and reopening it.
Something for a later release then?
Or perhaps a Feature Request?
Guess that PrE's location is not as "sticky" as is PrPro's. Even with closing Projects, and exiting PrPro, my locations are retained. Sorry that PrE is different.