Nope you're not missing anything, when you download a trainer for the first time you'll have to choose to open it in your designated trainer folder, I hope that changes in the future.
All the trainer updates will be automatically downloaded to your trainers folder of course.
[Edited by moderator KingEli, 3/31/2021 1:01:30 PM]
This is not happening for me. I was prompted once to change the behavior but it tried to open a page in Edge, which failed. Now everything downloads to my "Downloads" folder instead of where I want it. How can I get into the Chromium settings to change my default download folder?
I also get this error which i just discovered when i click on a game trainer through the mini TM.
Its fixed already in TM preview version