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The instructions say to click "Share" (which works fine), then to click "Local" in order to choose a setting.
Nothing happens when you click on Local. The hover bar shows the location, but there is no way to edit it!
It doesn't seem to be a live link to anything. Seems like a bug. (Or am I missing something?)
Welcome to the Premiere Rush forum.
Have you tried clicking on the browsed path shown with Save to... label? it will open the windows Explorer window where you can change the custom location for the exported videos.
I hope it will help. Please write back with the screenshots/screen recordings, if possible, if it doesn't work.
A few Adobe apps seem to have this not so obvious way to change the location.
as Mayjain has indicated clicking on the Folder or current location next to Save to should allow you to change the location.