Why doesn't the Downloads folder show new files first when sorting by 'Date Modified'?

[Microsoft Windows]

When I download a file, it doesn't automatically display at the top of my Downloads folder. The folder seems to be sorting files based on when they were originally created or last modified by any user in any location, which isn't relevant to me. I can't work out how to sort by the date they were last saved/modified locally. For example, a PDF file I downloaded today went straight to the bottom of my folder, because its metadata says that it was created, last modified and last saved back in 2023...

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