I can reproduce this behavior on WSL, and yes, it's "expected" to some degree. As I mentioned in the comments, this is probably the same behavior we'd see in Ubuntu Server, where there's no desktop environment by default.
The XDG directories such as Downloads, Documents, Music, etc. are typically created by the Desktop Manager (or perhaps, more technically, the Session Manager) during the user's initial login to that desktop. As far as I can tell, this is done by running xdg-user-dirs-update during the session setup.
Since in WSL, we're running Firefox in a GUI without a desktop environment, that step never gets done. This would be similar, under Ubuntu Server, to running Firefox through XRDP or even X forwarding to another system.
While I understand from the comments that you've already solved the issue by simply moving the directories, for future readers, you should probably do a one-time run of:
xdg-user-dirs-update
... before running Firefox or other apps which adhere to the XDG standard for the first time.
Because Firefox isn't finding the directories in the expected location, it seems to have created them in its "user" directory as a Snap.
If you delete those directories, run xdg-user-dirs-update, and run Firefox again, it will not recreate the directories under ~/snap/firefox/common. That directory itself will exist, but it will be empty, and the "normal" locations for Documents, etc. will be used.
