What OS are you running?

On Windows, Firefox shows me a File Explorer window to choose the folder where I save the file. I don't know whether this is because I use the "Always ask you where to save files" option for downloads, or it works like this for everyone.

The file is either downloaded to the default download location as set in "Settings -> General -> Downloads" or to the location that you set in the save dialog. This warning is merely went to make you aware of the security and privacy implications of having the usernames and passwords are stored as plain text in a file on the profile folder instead of encrypted in logins.json where you can choose to use the Primary Password to add an extra level of protection.