When I add a contact.
Default contact folder is Exchange, not Local Folders → Contacts.
It is not possible to set Default contact folder to Local Folders → Contacts?
It will use the contact folder for the email account that was preselected when you began the new message.
If it is a message you are reading, it will use the contact folder for the email account the message was sent to.
Preselected is a pop account set as default account (first in account list).