OUCH! You figured it out but I don't like it. This problem started recently, like a few months ago. Before then the Downloads folder behaved like the Pictures folder does now. I looked at the Permissions and ACL, but they are identical in both. This sure seems like a bug.
Also, I used to doubleclick a picture for a preview only, but now it imports and there is no option to not import. Seems like both started with the same update.
To answer your previous question, the Contextual Menu offers to Reveal in Finder only for pictures already imported. For unimported pictures that item is greyed out. This feature also appeared with a recent update. Before then you couldn't know if a picture had already been imported.
It occurs to me these problems might have started when I got the iPhone 11 about a month ago.