This is the top missing feature that makes me hesitate leaving Edge (Chrome and the other forks I've tried don't have this either). Here is how Edge does it:
So, @jscher2000, this idea could be implemented as simply as:
Maybe a lazy way to save a click but if each download line item is going to have an icon for its containing folder this isn't much more to ask. And for what it's worth I'd like the Ctrl J shortcut to only open that toolbar button interface (or at least offer a settings toggle for this).