In 3.5 when you choose a directory for midi input, this was remembered when opening a new file.
This feature has been lost.
Can you be a bit more specific about how you’re doing this, @patrom? If you choose File > Open you should find that Dorico retains the last path that was chosen.
File>Import>Midi, it used to retain the last path.
OK, I have made a note of this and will investigate when I get the chance.