tl;dr If you want spotify to save to SD, you must enable storage permission yourself before downloading anything, it won't ask (or clear data > set permission > download if you have).

Disclaimer: Only worked with this on my own Moto X Play (6.0)

This seems like a bit of an oversight by the Spotify devs and had me confused for a while. Prior to 6.0, the way Spotify handled downloaded songs is it would look at the amount of space on your SD card vs your internal storage and decide itself. Kind of frustrating not being able to choose but worked for the most part.

However with the new permission system, it doesn't ever ask for storage permission, and only saves to internal. To make things confusing, once it decides it doesn't change location. The previous way to change location was clear data and download again. Clearing the data however also resets the permissions, so if you tried that first you might not notice the permission has been revoked after clearing the data.

Hopefully this helps someone else not get as confused as I did trying to get it to save to the SD card.