I don't see where Film &TV can take stills. Are you talking about the Photos app? If so, it should bring up a standard dialog box to save the image.
Well to test do what your doing and then select save as instead of save and the default path should show.
@ncameron , It seems you are not using the Windows 10 Microsoft "Movies & TV" app, but something else. Can you posts screenshots of what you are trying to do?