Facetime screenshots on MacBook Pro not saving to Photo library

Whenever I take a screenshot on my Mac during a Facetime call (using the picture button within Facetime) the message shows on the screen that I have taken a screenshot, but I cannot find the photo(s) in any of my photo apps (not on the Mac or the iPhone)

I've seen other discussion boards saying that they should be in the photo library if all devices are up to date with software, but this has not worked out in my case. Any other tips that may help to find these photos/save future ones properly?