This only happens when installed on Windows Vista or 2008 not on Linux.
Choose File -> Import -> Teiid Designer -> Teiid Connection >> Source model:
Then, choose a particular data source (shouldn't matter which one)
Click "Next", this screen will now ask you to choose a location
Click on the dots behind the grayed out "Location:" field and choose a location
After selecting a location and pressing the "Ok" button, the location is not taken from the "Select a folder" dialog box and therefore empty.
If I now choose "Back", I arrive in the previous screen again. Pressing "Next" again now does fill in the previously chosen "Location" value.