If you load a game, which is a very common scenario, the "save" folder (OpenTTD save folder) is the current folder.
I usually save my games in my Dropbox folder, because I play on different computers, and I get redundancy as a bonus.
Each time I want to play, I open OpenTTD and choose "Load Game", and I have to locate my Dropbox folder, and then locate the game within it. Every time.
It would be nice that when I choose "Load Game", the current directory will be the one that was current before I closed the game.
Although this would be nice to have, it isn't something we expect to fulfill in the next year, and on that basis I'm closing it. We do this to keep the project manageable, productive and fun. We hope you do understand. Thanks for contributing though! Here you can find more about how we handle feature requests.