Hello JoePro262,
If you open Finder and search for the term ‘Screen Shot’ or ‘Screenshot’ are you able to locate the screenshots? Also, were you able to use Mission Control to see if they may be saving to an alternate desktop?
If you have done those steps can you let us know if the issue continues in a different user account on your Mac? If you’re unsure, or you don’t have an alternate user account you can create one using the steps outlined in the following article. After creating a test admin user account test to see if the screenshots save to the desktop.
Set up users, guests, and groups on Mac
Let us know how that goes and we’ll continue from there.