It's not difficult to simulate, its just that it does the same thing in VFP7 and prior also.

I not at all convinced there is a bug here. If a default directory is set in Tools/Options, that remains in effect, otherwise it uses the one in the shortcut. Same behavior in VFP8, VFP7 and VFP6. It reads the default directory, if set, from the registry when VFP starts, which is after it gets set from the shortcut, so the registry setting overrides. Otherwise, it uses the shortcut setting.