The rule is: Everything is saved to the download folder
File downloads, page downloads, saved log files and data saved with localStorageExport is the Chrome download folder. This is the only folder where Kantu is allowed to write. The same is true for Kantu for Firefox.
The only exception from this rule are files that are saved with the FileAccess XModule if it is installed. Currently these are CSV files saved with CSVSave and desktop screenshots saved with captureDesktopScreenshot. Please check the documentation of these commands for more details.