I just logged into my bank and tried to export my statement several times unsuccessfully and reported the problem to my bank but then tried to save various other files from other websites and had the same problem. The option is there as a contextual menu item but the actual save dialogue box does not appear and the files are not saved to the default location either.
Brave was updated yesterday or the day before and the last item I had previously saved was two days ago so I assume that it is related to the update.
I’m using Brave Version 1.16.75 Chromium: 86.0.4240.193 on Mac OS X 10.15.7