The file save-as dialog is a GUI, OSI level 7 event. Yoru SAP Web virtual user is running at the bottom of OSI Level 7/trop of OSI level 6 through the HTTP protocol. You should not expect whatsoever that a GUI level event should be recorded unless you are using a GUI protocol. In short, you need to cultivate your architectural eye on the decomposition of the client stack by OSI layer.
100% of the time whenever you have a file save-as condition the results of the event show up in the following form submit to the web server. You should not expect that a file will show up on the workstation, as this is within the HTTP stream and is subject to the log settings of the virtual user. This is by design, for if you have hundreds of users writin files to your local file system during a performance test then your local file systems, as a finite resource, will become the bottleneck for your entire load generator.
Validate against the file header and the file footer in the resultant download http stream. If both the file header and file footer are present then you have a valid file download.
If you have to modify the file to send it back then you have an entirely different challenge that you will need to address. I would recommend using a standard file for the upload that you keep in context to the virtual user. If you are insistent upon a path which results in a downloaded file, edited in Excel and then re-uploaded then you will be spending your time using Citrix, RDP or GUI virtual users and not SAPGUI or SAPWEB.
Think architecturally.