This happened to me several times, I go to export a graphic of a new score to the desktop and it’s nowhere to be found. Later I discovered that the new “filenames option” was the culprit. Instead of printing the new score with it’s title it was printing the title of the last piece I was working on. Sounds like a bug to me.
No, the settings in the Export Filenames dialog are application preferences, not stored per-project. Use the recipe ingredients rather than typing explicit names into that dialog.