Document Sets - Saving Documents Online

I use a Document Set within a site library. If someone is editing a file with SharePoint Online and goes "Save As" and then selects the site and library under "Teams & Sites", the Document Sets do not appear to save the file. 

If I navigate to OneDrive online and access the site then library under "Teams & Sites", I see all the Document Sets and all their content. They are only unavailable when saving is required. 

Am I not able to save in a Document Set online? Is it a setting issue?