This issue can occur when using later versions of Adobe Photoshop like CC2018, CC2020. etc and the Foray Filters like Chromatic FFT (CFT) or the Image Calibrator (ICU).
The root cause is that Photoshop will not allow a directory to be chosen when using their API. A default location is used, which happens to be the last folder an image was saved into.
WORKAROUND:
Navigate to the desired folder containing images to processed
Select the image and open it
From the file menu, choose "save as" and give it a different name.
Use the filter of your choice, either CFT or ICU
The new file will be saved in that location
If additional assets from a different folder are to be processed, follow steps 1-5 again. Essentially this defines the save location to be used.