I can definitely reproduce something the OP is complaining about, and his complaint makes sense to me....
I just opened a project. Then I selected the File > Export audio menu option. When the Export Audio dialog comes up, it's pointing to my Cakewalk Content\Audio folder, not the folder that contained the project file I just opened. IMO, and apparently the OP's, it would make more sense to use the project file's folder location as the default for the Export dialog (and other dialogs).
Maybe there's a setting for this somewhere?
Jim