Sadly, the saved locations are NOT used for elevation calibration (unlike in Edge or Fenix). .
I just partly agree with your description and argument.
"Saved locations are not used either on Fenix. At least not my Fenix 3. And in my opinion, it would be silly of Garmin to do that.
You must remember that a lot of saved locations were recorded by the watch, with the same imprecise GPS altitude measurement that you are trying to avoid."
When you save a location you have the option to edit it, thus you can easily set the known elevation of a saved waypoint, just as the same way you described "the saving after the GPS fix".
My other point is maybe related to F5+, too, and F3 works in a different way
I think even omitting the elevation data of saved waypoints (saved locations) would not cause a big problem, and the method you described would be perfect, but there is another problem, at least for Fenix5+ series (tbh I think it is the same problem at least for F5 and F6 series, too. I unfortunately dont remember how my F3HR handled it).
What I mean is that if you from time to time manually calibrate the elevation of your watch, even without any GPS fix, it simply overrides the calibrated elevation of the stored "hidden saved location" you mentioned. In other words independently from where you were exactly when you made the last elevation calibration it has a higher priority than your GPS fix-based calibration.
So practically your run will start at 40m altitude unless you re-calibrate your watch after the last GPS fix-based calibration.
I tested it at least 5 times with my F5+ and it works how I described above. And this way is stupid.