This is so annoying. All my default directories are pointed to the mac os volume - download, temp etc. Microsoft Edge is downloading to the download folder on the mac os and not in the VM, and it cannot be changed; All logs and default data is saved by apps to the home mac dir.
This is the normal default. To avoid it, you will need to got to Actions > Configure > Security and tick the checkbox for Isolate Windows from Mac which, I find, makes life easier. You can still access the Mac by mounting the volumes via the network in File Manager/Explorer or whatever it's called today.