The idea (correct me if I'm wrong) is that the Save Process Icons dialog should use the last directory used by the Save Image File As dialog. In the same way, Load Process Icons should use the last location of Open Image Files. Is this what you want?
Note however that once an icons file has been saved, the Save Process Icons dialog will remember the location of the current PSM/XPSM file.
I see no problem to implement this behavior by default. Should this be selectable through a dedicated preferences item?
On a side note, I think this thread would better be moved to the whish list board. Do you agree?