In general, it depends more on how you open the STEP: If you double-click or drag the file to open from the explorer, Solidworks will not find the location of the file and will offer you the last used directory. If you open it from Solidworks then the location of the file will be known and the record should offer you the correct directory...
That said, I'm on the 2022 version, would that have changed in 2024?
@a.Eriaud : Thank you for the additional information. The question we didn't ask is: Which operating system. I'm on Windows 10 and my Solidworks data is on a remote server.
Hello and thank you very much for your answers. Regarding the opening from Solidworks it works but it's less convenient than going through the explorer.
For my part, since the transition to SW 2024:
drag and drop from windows explorer: SW keeps the last folder from Windows Explorer, right-click-open with SW: SW keeps the last folder from SW, file-open: SW knows the original folder double-click: SW keeps the last folder
Regarding the operating system, I am on Windows 11, SW is installed locally and my files are on a server. But everything was the same when I was using SW 2022 and I didn't have any problems.