Does "Move threat to Folder" -- not actually work?

So, my On-Access Scanning preferences (with Sophos 8.0.10) are set to:

When a threat is found:  Deny access and move threat

Move threat to folder:  <various folder locations tested>

If I download eicar.com from:  

http://www.eicar.org/85-0-Download.html

The file is downloaded.   Sophos flags this in the Qurantine Manger.

But the file is still in it's default downloaded location (which I've tried various locations as well...)

Am I missing what *should* be happening with the "move threat" option with malware downloaded with a web browser?   Or is this something that is not actually working?