If you want to be able to
choose the file location where your individual PDFs are saved to, rather than have them all end up in 'Downloads' (or wherever else you've chosen as the default location for downloads), click on the three dots, then on Settings. Then click Downloads and move the slider to enable 'Ask me what to with each download'.
Then, rather than seeing a dialogue box open (with the options to 'Save' or 'Open'), as in the old days, you'll be prompted to make your choice at the bottom left of your screen. Selecting 'Save As' enables to to choose where the file ends up.
For a more intuitive way of doing things though, switch to Slimjet. Like both Edge and Chrome, it's based upon the developer-level Chromium browser but it's faster and generally better:
https://www.slimjet.com/