Fix creation of new directories on server side when saving data

DirectoryProxies were being invoked on all processes when a remote server was connected. This led to the directory being created on the client side or reporting that the directory couldn't be created if the directory path on the remote side didn't exist on the client side. If the directory path did exist on the client, then the new directory would be created there.

Fix this by setting the DirectoryProxy location to be on the servers so that directory operations are run there only when a remote server is connected.

Closes #20284 (closed) #20157 (closed)