Save as should save the file into the folder set in the save as dialog it is at the top of the dialog. If the current document being saves is not a new document I think that should default and be set to the current documents backing file Path. If it is a new document I believe Photoshop will default the Path to be the folder you save into the last time you used Save As.
I'm going to have to try to reproduce what I'm doing.
I have an image in folder "A". I open it in Lightroom. I do an Edit In and send it to Photoshop. Make changes in PS and if I do a Save As it goes back to the original folder "A" fine. But recently, I've had a number of times when I did a Save As, didn't look at where PS was going to put the file 'cause it's always put it in the folder it came from, and Photoshop didn't. I'd get back to Lightroom and realize the new file hadn't shown up, and have to go back into Photoshop, where the file was still sitting, to see where it put the file and move it in Lightroom.
I'll have to try to reproduce it, but it happened this afternoon so hopefully it'll be fairly simple.