It seems that when using the file picker to find a saved game, OpenTTD initialises the file picker to ${Home}/OpenTTD/save (or something similar), at least on Windows. Some people might want keep their saved games in a different directory, and hence have to take the time to navigate to it everytime they launch OpenTTD to continue their saved games. (I keep my saved games on a network drive so that I can access it from other machines, and there are probably people who would like to keep their saved games on a different drive, or just a different directory on the default drive.)

It would be more convenient if OpenTTD remembers the directory that was last used (i.e. the directory containing the file that was last selected). This is consistent with the way Windows file pickers work by default, and is probably consistent with other operating systems too. For OpenTTD, the last used directory could be saved in openttd.cfg.

It probably wouldn't matter much whether the load file picker and the save file picker shares the same configuration entry. On Windows file pickers, they are remembered separately (so launching a file save dialog defaults to the directory last used to save a file, even if the directory last used to open a file is different). For OpenTTD, I can't think of a use case where we would need the load and save directories to be remembered separately.