That's really it in the subject field.
When I open that dialog by right-clicking and selecting "Save Image As" I get a dialog box, with the filename highlighted, but keyboard input seems to be directed to the web page itself. Highlighting the filename is a wee bit deceptive if it's not really selected for editing, innit? Just making a joke there: fantastic browser, just suggesting a minor UI tweak.
This is the v108.0 64-bit snap on Ubuntu 22.04.1 LTS.