The settings in Windows have no affect on the last folder option that we're talking about. That's handled only in Sigil.
It sounds like we have conflicting requirements. Ahmad wants Open, Save, and Add Existing to all be the same. Elfwreck wants Open and Save to be the same, and Add Existing to be different.
The patch in 0.6.0 beta makes the Open and Save folder the same. So if you Open a new EPUB file, the folder used is saved and will be the default folder when you restart Sigil or do a Save As. If you do a Save As and change the folder, then that folder becomes the default for Open as well as Save As.
The conflict is in how to deal with Add Existing Files. At the moment (in the 0.6.0 beta), Add Existing is a separate setting. It defaults to where you opened sigil when first used, but after that it remembers the folder you last used when running Add Existing, even after restarting. It is not affected by Open or Save As.
Since this seems to cover Elfwreck's requirements, and I can see how changing the Add Existing folder to match the Open folder when you use the Add Existing to add in standard templates from a central directory, I will leave the last folder patch as it is in the beta.