Can't delete files from iCloud/Desktop
I don't know why this changed, but right now instead of saving on my Desktop only it saves in iCloud/Desktop only


Hit cmd + shift + 5 > Options and change the screenshot save location. I cannot take a screenshot of a screenshot window, but it's easy.


  .. my iCloud/Desktop folder ..


You might have turned on iCloud for Desktop and Documents. Check in the System Preferences → iCloud options.  Turn it off, and all your documents will get downloaded to an iCloud Archive folder directly under Users/me/. Then you can move all those content to the original, local Desktop folder. 

If you don't like it, just change the screenshot save folder to a non-iCloud synced folder.