Hello @viacheslav.shapilov
Thank you for your reply. This is helpful. I'll add some more details for clarity.
Understood that setup sheet is a special post. Generally, if you choose to generate a setup sheet via the menu, a special process will be invoked to generate the setup sheet using the post. The process is context dependent.
If you choose Setup Sheet from the right-click menu of a Setup or from the top menu bar with a Setup selected, you will be asked for a local folder location, but there is no option to specify a file name for the setup sheet. The file name will be the project file name.html. In this case any setup sheet created will overwrite any other setup sheet with the same filename in that local folder. When choosing the folder, the folder contents are not shown because the view is filtered to show folders only. So it is easy to inadvertently overwrite an existing file. There is no confirmation dialog for overwrite in this mechanism.

To overcome this, I've been creating a new folder for each setup sheet.
If you choose Setup Sheet from the right click menu of an NC Program or from the top menu bar with an NC Program selected, you will be asked for a cloud location. In this case, you can specify a file name, but it uses and appropriate default of the NC Program name. There is not an option to save to a local folder in this case. Since setup sheets are generally needed by the machine operators, this would require additional manual steps to move the file from the Autodesk cloud to the appropriate local directory. But this mechanism doesn't create an HTML file but a FSSD file. The FSSD file will not launch directly in a browser, but within a Fusion Team site. This would require machine operators to have access to the Team site.

I did some more investigation based on your response and think I understand what you mean. If instead of choosing Setup Sheet to create the setup sheet, you select the NC Program, and choose Edit from the menu, you will get the get the Post Process edit dialog. There you can change the Post and select the Setup Sheet (HTML) post processor. With that, the Post Properties change to be appropriate for the setup sheet. In this case the file name can be specified and is preset to use the Name - Comment as the file name just like the NC file post.

This process is a bit awkward because it specifically doesn't use the Setup Sheet function to generate the setup sheet. It otherwise is a fairly clean process although the effort to set it up may outweigh the effort of manually renaming files in the local directory or moving files from the cloud to the local directory.
If you duplicate the existing NC Program, you can rename and set the duplicate to use the Setup Sheet (HTML) post processor to help keep things in sync through design iterations.

A downside of this method is that when you select an NC program, you can no longer display the material outline, therefore the material is not shown in the image on the setup sheet. Our machine operators find it helpful to display the material outline on the setup sheet.

Setup sheet image as created from an NC Program either via the Setup Sheet function or via Post using the Setup Sheet (HTML) post processor.

Setup sheet image as created from the Setup using the Setup Sheet function.
So, there are several ways to work around the inability to specify a file name, but each has a deficiency. It seems like it would be pretty easy to change the Select Folder dialog to be a Save As dialog in the Setup Sheet function of the Setup. That would make things very clean, easy, and obvious. Until then, I think I'll continue saving each setup sheet in its own folder to avoid overwriting.
Thanks again,
CC