When I export video from Final Cut Pro, how to set the export directory?
Some sharing methods have a default action. 

If that is set to Add to playlist: then it will simply put it into your appropriate media folder in your user folder. Many sharing methods have this as the default.

If you set that to Do Nothing, then the Share button will turn to Next... indicating that it will ask you where you want to Export the media to when you click that. For Example:



or...