No. it is not the download folder that bothers me but the absolute loss of control on the download itself.
With a dedicated download manager, I can see at what speed the file is being downloaded, increase the acceleration ( no of connections per file), search for alternate mirrors with higher throughputs, schedule the different downloads the way I want etc., which I sorely miss.
The IE9 download tool takes all that away. I have to just keep twiddling and fiddling with my fingers. And my licenced download manager is pathetically lost in wilderness.
I am desperately looking for a way out and putting it back on its pedestal.