Yes, this is possible, at least in the PC version of Power Point. Select Options from the File menu and then Options. Change the Default Save Location. I think in the PC version this changes it for all Office programs.
A workaround is to have the Slide Show folder open in a Finder window, and just drag and drop the images onto the PowerPoint page you want them to appear. You’ll then have to switch to PP and resize/crop etc., but I find it goes much more rapidly than doing the Add Image dance.
Drag-n-drop works from the Finder, from email, from Adobe Bridge (where I view and catalog images) and even from web pages. Probably lots of other apps, too.
“Picture from file” opens a special box that has the contents of Finder, but is not Finder. There is no sidebar.
My workaround is to use “recently found” since Slide Show is top of that list. That way I can click on an image in the folder and it shows up already perfectly fitting the box. No cropping needed. But that’s still an extra two clicks I’d like to eliminate.