Here's how I managed to get screenshots (taken with the Print key) stored in the Downloads folder. Bit of a cheat but works. elementary OS 5.1 Hera.
$ cd ~/Pictures
$ rmdir Screenshots
$ ln -s ~/Downloads Screenshots
It looks like the screenshot app location and the one of the prt sc button command are different. In order to achieve what you need I can recommend you to use the Files application, navigate to the parrent folder of the one you want to store the screenshots automatically, right click on the folder you want the screenshots to be stored and select Copy as Link....