Mystery screenshot folder

You didn't mention where the folder was. Windows creates a Screenshot folder in your Pictures library. You can change the location by clicking on the folder and going to Properties / Location.



Here's more info I found at https://www.androidauthority.com/where-are-screenshots-saved-windows-3341260/

Can you change where screenshots are saved on Windows 10 and 11?
Yes, you can change the save location for screenshots in both Windows 10 and 11. If you’ve moved your Screenshots folder to a different location using the Properties window, Windows will save the screenshots to your new location.

Both Windows 10 and 11 also include the Snipping Tool, and Windows 10 has a similar tool called Snip & Sketch. Both allow you to capture custom screenshots and manually choose your save location for each file. If you’re not sure where your last screenshot was saved, these tools remember the last place you saved a file. To find out, you can take another screenshot and see where the tool prompts to save the new file.