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Position of "Downloads" folder in sidebar is inconsistent with the File Picker
The File manager sidebar shows the "Downloads" folder at the bottom, inconsistent with the alphabetical ordering of the rest of the folders.

Alternately, if its a design choice (for some reason), it is inconsistent with the position of the "Downloads" folder in the file picker.

Fixing either would be okay, depending on the context of the design decision taken by the UX team previously.
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This is not trivial to fix since Files uses its own custom sidebar and the FileChooser is a modification of the GtkFileChooser which still has the native Gtk+3 sidebar. In principle it may be possible to replace the Gtk widget with a cutdown version of the Files sidebar.
Does this get affected/solved by the new native file chooser?
Yes, apps which use the native file chooser interface will basically launch an instance of Files as I understand it.
I began working on this here: https://github.com/elementary/xdg-desktop-portal-pantheon/pull/2
Sidebar in FileChooserDialog

Sidebar in Files

I use a stable elementary OS with the latest updates.
How come that even with the new xdg-desktop-portal for FileChooser the positions are still not consistent?
This is a consequence of Files only partially modifying the default Gtk filechooser. It does not currently currently replace the sidebar with a Files sidebar, it only replaces the pathbar and actions bar. Hopefully, the remaining widgets will be replaced in the future.
Closing as it possible to reposition the bookmarks in Files.