Sieve does not know anything about paths and merely treats the fileinto
argument as opaque name. Keep (implicit or explicit) does the same as
fileinto "inbox". Changing keep means changing fileinto "inbox".
If you append a slash to fileinto arguments in Sieve, Exim will run the
router directory_transport. Otherwise it runs the file_transport. What
exactly the transport does with the $address_file is independent of that.
I hope that is of some help, because I am not sure what exactly you
are trying to do.