Hi Promidi,
I suspect a bug as you suppose because this is a new behavior since some update (1 or 2).
I tried to specify a specific folder location for exports in Preferences | File | Folder Locations > Export Audio Files but the directory is create in the same directory where I double click the midi file to play.
Very annoying because I have to delete this empty directory every time I run a midi file.
Thanks everyone who try to help me to solve this problem.
I'll continue my research to solve this and let you know if I find something.