Yes, this is a bit annoying.
This is what I do in my apps when the user wants to save something (through a menu entry or a button): the app creates a unique file name that includes a date and/or time stamp, so that I can be reasonably assured that the file name will be unique, and I place the fully qualified file name in a text box that the user can click to cut and paste into Explorer or other software. I typically place that file in the User's AppData folder "C:\Users\<user>\AppData\Roaming" since that is a place that I know B4J can write to.
It's a little clumsy but apparently my users got used to that pretty quickly.
It is quite frustrating that this folder is hidden by default under Windows, so it is hard to navigate to with Explorer, but the trick above does help.