Create file using "New Button" doesn't save to library if using Desktop App as default

Hi,

This is driving me crazy.

If you are in a library on SPO and click, for example "New Document" if the default is to open Word Online then the file is created in the folder where you click the "New" button.  

However, if your default is to open in the Desktop App then a document is created and when you click save (auto-save isn't activated because, for some reason, no file has been created yet) Word doesn't know where to save the file. You get the option of OneDrive or your Site, but it doesn't default to the location where you clicked the "New" button, there's no search or browse. Either you have to have edited an existing file in that location previously (so it appears in the Recent List, or you have click on Following for the site (so it appears in your Following List).

Surely this isn't the right behavior you should get. Am I doing something wrong??? 

Our users only want the desktop app as they use a lot of the advanced features unavailable in Word/Excel Online. 

Hope someone can help. Thanks.