It is different behavior than when I do “Take Screenshot” by right-clicking on page directly. Previously they both used to work the same, i.e. saving screenshot to “Downloads” folder (I’m on Mac and my default files downloads location is set to “Downloads”).
I’ve been experiencing this “issue” since around April 2023 – a feature or a bug? 
Thanks for reaching out! It seems to be an intentional change: https://bugzilla.mozilla.org/show_bug.cgi?id=1072345
The rationale is that we are not really “downloading” anything, so if the OS provides a folder for “screenshots” we should rather use that.
But I agree we should align the various screenshot features (and I don’t have a strong opinion regarding what’s the best location for that)
(edit: filed https://bugzilla.mozilla.org/show_bug.cgi?id=1845037 to discuss about that)
Thanks for coming back so quickly! 
Ah ok, following the threads, thought I could override it for now by setting devtools.screenshot.download.dir to my “Downloads” dir? But it doesn’t seem to make it work either…
Hmmm right, it seems the behavior mentioned in the bug was not implemented in the end, so the preference is not used. At the moment, there is no way for you to update this location, but we plan to add an overall “screenshots” location preference in the Firefox preferences, which should then be used by both DevTools and the in page screenshot feature.
That work should start in https://bugzilla.mozilla.org/show_bug.cgi?id=1839949
Gotcha. 
Thanks again for the clarification and the effort!! 