Screen capture utility no longer saves to Desktop
None of the answers above helped me, but I discovered the my case:

Shift + Command + Control + 4 saves the screenshot to the clipboard.

Shift + Command + 4 saves the screenshot to a file on Desktop.

So if you're using the first short-cuts, you have to manually open a photo editing app and paste the image, but this can be done automatically with the second short-cut.