I'd advise anyone who is having this problem to look in their Downloads folder.
If you search on this issue on the Web, people always talk about where files are stored if you use the snipping tool (Windows + Shift + s).
However, if you right click anywhere in the active part of a Microsoft Edge tab, you get a context menu that includes a "Screenshot" option. The keyboard shortcut for this option is different - "Control + Shift + s". Whichever way you launch it you get something that looks a lot like the Snipping Tool. However, after you have made your selection, it is automatically saved in your Downloads folder.
None of the guidance I have seen anywhere about changing the location of your Screenshots folder makes any difference to this. It only affects where files saved with the Windows + Shift + s Snipping Tool are saved
Presumably there is a Registry setting somewhere that would enable you to change where the Edge screenshots (Control + Shift + s) are saved, but I can't find it.