It's a bug. -O currently doesn't work everywhere in should. If you just want to change the directory where Wget operates, the workaround is to use `-P'. E.g.:
wget -N ftp://ftp.pld-linux.org/dists/ac/PLD/athlon/PLD/RPMS/packages.dir.mdd -P /root/tmp/ftp_ftp.pld-linux.org.dists.ac.PLD.athlon.PLD.RPMS
