I dont have this problem on windows, each time I go to add a new image, it takes me to the last folder I viewed.
Perhaps this is a mac thing.... strange though, most things like this seem to work better on a mac rather than windows usually.
You could have a button with a script attached that specifies the FilePath. In other words making your own version of this command. If you had FMPA you could attach the script to a custom menu item.