Drag and drop from the book list seems to be a winner.
Of course if you went to
Preferences - Saving books to disk and followed davidfor's advice that would set you up the way you want, no opf, jpg or explorer pop-up.
If you then went to
Preferences - Keyboard and changed the S shortcut from
Save to disk to
the Save only epub (which means Preferred output format)
format to disk in a single directory then the S key shortcut would copy the epub (Preferred output format) to the directory you choose without any Windows explorer pop up or any other auxiliary files being copied.
Your idea for the context menu is still a good one that would be nice to have implemented. But in the mean time drag and drop from the book list or a simple shortcut key should do nicely.