screenshot thumbnail disappears after drag and drop

I recently updated to Catalina when I got my new Macbook Pro. I'm still learning some of the idiosyncrasies of it and finding some of them annoying.

So I took some screenshots to drop into a document. The little floating thumbnail popped up. I drug that into my document. Great. But after, I went to find it on my desktop. It wasn't there. However, the ones that I took and DIDN'T drag into the document WERE there.

I looked all over for the document ones (I needed them for more than just that document). I even found there was a "screenshots" album in Photos. But the ones I grabbed from the floating thumbnail were not in there.

Am I to suppose it doesn't save those? It seems like they should be somewhere? But they are not.