While using Revit MEP I observed the following. As you know, when using the Recent Files window you have two options to open a file: Projects and Families.
If you use Projects > Open: Revit remembers which folder location you opened recently.
If you use Families > Open: Revit doesn't remember.
You can also use the Application Menu (Big R) > Open: Project, Family and Revit File.
If you use Project: Revit remembers.
If you use Family: Revit doesn't remember.
If you use Revit File: Revit remembers.
Seems a bit arbitrary and subtle to me. I'd prefer that it remembered the last folder I used regardless. When I tried the same thing in Revit Architecture I found that it remembered the folders correctly. There seems to be some inequity in how Revit keeps track of which folders we visit using the various Open File techniques available to us.
What do you see?