I noticed while doing some testing related to critical comments made in https://sourceforge.net/p/keepass/feature-requests/2998/. That only File>Open File… and the Open Database button set the "last used folder". I suspect this is by design because the File and Database Open actions are the only actions that actually open a browser window.
Two common alternate methods for opening databases, i.e., using the database file association or the File>Open Recentmenu, have no effect on setting the "last used folder".
From a user perspective I don't really see a controlling principal that causes folders accessed by Open File/Database actions to be intrinsically more important than folders visited by the other open database actions. Users accustomed to using the alternate open methods may rarely use the Open File/Database actions. Though all user types can use the Open Recent menu to open a database, neither alternate method user has a way to initiate a browsing session from within KeePass that is certain to start from a folder that contains KeePass databases.
I don't know that there is a single behavior would suit every workflow. Perhaps an File>Open Recent Folders or a File>Open>Recent Folders menu list of recently used folders that contain databases could be useful. This option could be included in the KeeUIExt plugin rather than as a default menu item.