If you use the Print & Fax pane of System Preferences to change the location where received faxes are saved, but you leave the Print & Fax pane open, received faxes may not get saved correctly if the target folder does not already exist.
After changing the location where received faxes should be saved, close the Print & Fax pane of System Preferences by clicking the Show All button or by quitting System Preferences. This ensures that the folder you specified as the saved fax location will be created.
This document will be updated as more information becomes available.