The "Save a Copy" menu item in Adobe Acrobat is there for a specific purpose when dealing with PDF forms - it removes Reader extensions and breaks any links with Tracker. It's still present on the Acrobat X menu, but only when viewing a Reader-extended file.
The "Save As" and "Save a Copy" menu items in Adobe Reader were also linked to the file permissions, but didn't perform the same functions as they do in Acrobat. To ensure the menus across the entire Acrobat X Family are similar, "Save a Copy" has been removed from Reader X.
You can post a feature request, but I haven't seen any significant demand to change it back. There are sensible reasons for keeping the active version of the file linked to the last save location - if you want to split off an independent copy, just do another Save As.
The default folders for saving operations cannot be changed - again, please post a feature request if you feel this is a problem for your workflow.
I strongly agree with Stephan. The "save copy" feature saves a lot of time for on-line researchers who are downloading multiple pdf files, seriatim, to the same hard drive folder. Without it, using only the "save as" feature, a user with a complex drive containing multiple folders has to repeatedly scroll through the tree each and every time a new document is to be saved to the same folder. What a pain.