When saving component by file->save as, visual component seems to have the initial directory always pointed at the "my components"directory.
However, I would think that it's rather common that user wants to save the component elsewhere. Usually the directory (where user wants to save the component) is already listed on the eCat listing.
It would probably(?) be an easy thing to add combo/listbox to the save dialog allowing users to select their target directory from the eCat list. That way the common and user defined directories would always be behind few clicks instead of having to waste time browsing the computer/network disks for the directory.
It's small features like this that make applications user-friendly.