I have exactly the same problem in that for many versions of LimeWire Pro I have always had my downloads go to E:\My Music with nary a problem ever until version 2.65 or 2.7 (can' t seem to remember when this issue started) at which point my default save issues became the same as previously posted here.

One observation though since I have no answers just more questions -

1. LimeWire Automatically creates a folder in my E: drive root calles "Incomplete" and no matter how many times I delete it the next time I start LimeWire it recreates it. This folder never has a file in it so why does it create this.
2. Further to that If I select as my save directory E:\My Music\Incomplete (not to be confused with E:\Incomplete) all of my downloads are successfully saved there. Go figure! This is a bug in the software not in my settings or permissions.

Gratefull for any assistance for it is a pain to think that I have to attempt to modify all of my other proggies that use My Music to compensate for this.