Thanks for reporting.
You have to create a folder “/home/user/Downloads”. It will be created by default in Whonix 10. https://github.com/Whonix/usability-misc/commit/ea231d9979a4a2f4b90ab5b93c620bd0b9895544. Then in the “Preferences/General” tab, set the “Save files to” box to “/home/user/Downloads”.
See https://www.whonix.org/forum/index.php/topic,97.msg5541.html#msg5541 for further discussion.