This is actually a bug report for Rush, which I don't see a page for.
When I export a project in Rush, I select a directory to save the exported file in, in my case a folder in an external drive. Rush accepts this location, but after I export the file is saved in the Documents folder on my hard drive, not the location I specify.

1 comment
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Caroline Sears, DVA Customer Support commented
Hi William! I went and got the link for you so you can post this bug report where the Rush engineers can find it. Hopefully, we can get this fixed up for you quickly! ^Caroline
https://adobe-video.uservoice.com/forums/916423-premiere-rush