There are problems with Microsoft Teams. These problems consistently occur using any version of Teams, browser or app, on any platform.
PROBLEM 1: Save-As file is in the wrong format.
1) If you take a picture with the Teams App and paste it into a chat, when someone downloads, it is called FILE.PNG (but is actually JPG)
2) All other pics, pasted into chat, like screen-captures, save to disk as PNG and really are PNG files
SUMMARY 1: JPG files should be saved as JPG and PNG files should be saved as PNG. If you look inside of the pic file, you will see the JFIF signature, proving that it is a JPG file. Even better would be to standardize on one format, and even better would be to give us configuration control of that format.
PROBLEM 2: Unable to specify a "default download location" for images saved in Teams.
1) We are unable to specify a default download location without jumping thru symbolic link hoops
2) We should be able to set a GPO specifying a default download location as well
SUMMARY 2: This is 2020 and you have only one GPO control for Teams (startup on boot).
Ondrej Vacek commented
Agree, I've contacted MS support and they told me it is 'by design' :D but it's a bug. They suggested me to write the bug in here.
Every image file downloaded from MS Teams is named 'MicrosoftTeams-image.png' regardless on original name and original format. It should be named same as the original source file.