Load a file into, say, slot 0. Click into slot 0, press L/R. The filename for slot 0 should be there in the upper right. Click into the direct tab and press L/R, you should see the filename for slot 0 in the upper right. Now, L/R and press SAVE, you should see slot 0's filename in the dialog entry.
The direct tab's tab functions (LOAD, SAVE, LIST ERR, RUN) always deal with slot 0, no other slots.
Click into any other slot, say, slot 1, then click back into the direct tab—no pitstops. Press L/R and see that the filename for slot 1 sits in the upper right instead of the filename for slot 0. L/R -> SAVE will give you the filename for slot 0 as it should be.
It's purely a display "bug," if it really is one. I can't imagine it is a feature they intended to implement because it makes no sense.