Can I change the location that MMS images get saved to?
By default, when you receive an image or other media, it will be saved to the internal storage of the app. If you want access to the image/media file, you can long-press it and select "Save". By default, this will save images to the /Pictures/Pulse folder on your device's storage. On any version of Android older than Android 10, you can select the download location in Settings > MMS Configuration > Media Download Directory.
The location that images/media are saved to will not be editable on Android 10+. Google introduced a new Scoped Storage requirement that will prevent apps from accessing random folders on your device's storage. You might notice that not all apps follow this requirement in Android 10. It is optional in Android 10, but will be required in all future releases. Pulse SMS does follow this new requirement.
You can also tell the app to automatically save any images/media that you receive to this external storage directory from the MMS Configuration section in Settings. That way, whenever you receive an image, you can always access the file immediately.