I gotta say, for all of my (many, many) criticisms of macOS the save dialog seems fine to me. I almost always have the destination folder already open in Finder, if anything the improvement would be to put a list of Finder's open folders into the save dialog. Dragging it over works ok though.
Not quite that, but macOS' new tabs-in-windows is close. I personally don't love keeping them all in tabs in a single window, but I can always select the Window > Merge All Windows option to gather all my disparate Finder windows together for this purpose.
(ETA: This wouldn't work in the save dialog though, I missed that detail)
