Deliberate mistake: As the Lotus drives off the pier and enters the water, the exposed underbody is that of a normal car. After it enters the sea, the underbody we see is completely sealed, which it needs to be to allow the car to submerge.
Deliberate mistake: When the speedboat docks at the Stormberg Laboratory with Bond on board the speedboat has no helm or gauges fitted to the dashboard. From that angle we should see them or something resembling them as we did when Bond was picked up.
Answer: First, it was indeed filmed at Karnak. Second, he rescues her because they are, for the time being, on the same side-therefore, she is an ally, and Bond won't just leave her to drown/die. I think, if he is even mindful of her promise during the heat of the moment, he would still consider it wrong to leave her behind; while the mission is on, she's a colleague in distress, and that's that. Once the mission is over, she can do what she likes, and Bond will deal with it then. (Though his surprise when she first draws the gun on him in the escape pod suggests he wasn't taking her threat seriously, so...bit of a freebie for him).