I had a somewhat brief annoyance session just now with the "always ask where to download" option seemingly not being enforced. It was a .zip file (wow addon) that was always automatically downloaded and opened, and what ultimately "fixed" it wasn't the "always ask you where to save files" tick in the Downloads section (no effect), but the "Ask whether to open or save files" tick in the Applications section.
What tipped me off was the marked solution to question 1395770.
Regardless, I guess you can imagine how typing "Downloads" in the settings search box can make you miss the right option entirely, and how it's very confusing that in this case "Applications" and "Downloads" are different sections. Please make it consistent 🙂