How do you change the default download location in Edge?

Am I missing something? I don't see the option.

It's not available yet, you can only change it on registry for the moment, until next updates arrive for people outside preview programs

HKEY_CURRENT_USER\SOFTWARE\Classes\Local Settings\Software\Microsoft\Windows\CurrentVersion\AppContainer\Storage\microsoft.microsoftedge_8wekyb3d8bbwe\MicrosoftEdge\Main

you create a new String Value and name it Default Download Directory double click and add the desired location on the Value Data.