You're right that it's odd that it only happens with "Save Page As." But generally speaking, I suspect that this is a feature, not a bug. Remembering where a file was last saved could be considered an information leak of exactly the type that Incognito mode is intended to minimize.
Chrome appears to use the native operating system's dialog box for saving files. I'm not deeply familiar with how they work, but it may be that they have a way of being explicitly called to not remember the most-recently-used folder.
Also, for many operating systems, the "most-recently-used folder" is remembered within the user's profile (so that it is available across multiple applications). It may be that Incognito mode invokes a temporary or restricted user profile that does not allow the MRU folder to be recorded.
So maybe it is a bug -- I would want this behavior for all saved files, not just HTML files.