"Save as ..." in Microsoft Office always brings up "Documents" folder in Finder
Many apps do this. Years ago a utility was released called DefaultFolderX. It lets you fix this problem for all apps, and it can even store two different locations- one for opening files, one for saving files. It’s excellent for when you open files from one directory, work on them and save them into another directory.

It is unlikely that Microsoft will do anything about this function as they would regard it as the operating system’s responsibility.