Since I prefer a simple window manager to a complex and overweight “desktop environment”, this behavior annoys me to no end. Luckily there is a way to turn it off.
Create a file named user-dirs.dirs in the directory ~/.config. This file should contain at least the following line:
You should of course substitute your own username for <username>.
There are several values that you can set in this file. Most of them only matter when you use a desktop environment. The defaults (without the XDG_ prefix and _DIR suffix) are defined in user-dirs.defaults.
Some sources say that it is OK to use shell variables (like $HOME) in the paths. Others disagree. So it seems best not to rely on that and use plain absolute directory names.