I always thought this was an annoying feature of the Windows windowing system. Photoshop has also always gone back to the previously opened window, so that when opening, changing and saving a series of images to two different folders, you have to change the folder location for every single import and save, because the import opens in the previously 'saved' folder, and the save opens in the previously opened 'import' folder.
I'm somewhat surprised at your claim that Premiere has not always done the same.
If you have Premiere CS4 you can verify it easily:
Make a project, "save as" and then import a file from a different location and "save as" again. It will suggest the same location in which the first save as was made, not the location of the asset you imported.
I can confirm that as well. PPro CS5 saves "wrong", CS4 "right".
After Effects don't have this issue, CS4 and CS5 both save "right".