Since QuickTime 7.2 exporting to self-contained movies works different?
Yes. If you do own QuickTime Pro, you can save new movie at any place you like. If you have not bought QuickTime Pro, the easiest way to get the known functionality back, is to exchange QuickTime Player 7.2 with QuickTime Player 7.1.6 or earlier. A tool named “Pacifist” and the still offered QuickTime 7.1.6 download from Apple will help not having to reinstall QuickTime. We are watching this issue, but will wait for the next updates to come, before offering application changes. Switching back to QuickTime Player 7.1.6 is painless.