adding photos to macbook pro from messages

Before anyone suggests i use iCloud..... that is not going to happen so don't bother.

Now for the issue.

My daughter sent me a photo that I want to add to my photos library on my new macbook pro. I right clicked on the photo and a popup gives options and I choose "add to photo library". I checked my photo library and it didn't work. I then clicked on the little download icon and it turned blue but again no success. I even tried to make a new library but it won't give me the option to place the photo there. I then checked finder and nothing to find there of that photo. With my old macbook air I never had this issue. Is there something wrong with my photo library?