The preselected directory is the users homedir but the usual location for documents in Windows is "Documents" resp. "Dokumente" in German. This directory is fixed in Okular, it does not change according to the last used location.
On VS-Desktop-126.96.36.1997-Beta I get a suggestion of c:\Windows for saving the signed document, not the users directory any more.
So its gotten worse instead of better...
This is when opening the pdf via the "open document" button in Okular. Where the pre-selected directory for opening is C:\Windows, too. On right-click-> Okular the suggested save location is C:\Windows, too (Except for one occasion of C:\Windows\System32...)
For the default opening directory maybe the Download folder would be a good place to start instead of the Documents folder. Or the users base directory. I'm not sure.
When setting Okular as the default for .pdf and then double clicking on a document to open it in Okular, the suggested save location is the same as the original document. Which is as it should be in that case.