macOS Mojave: Command + Shift + 4, screenshot not getting saved anymore
Use the keyboard shortcut Command + Shift + 5 to invoke the screen capture app. Click on Options and check if the Save to location is set correctly.
Adding to the advice by Nimesh Neema -- press Command + Shift 5 to gain access to the settings -- I would also unselect "Show Floating Thumbnail" to have your screenshots go directly to the selected destination (eg Desktop). The nice thing about the floating window is that you can often drag it directly into an app without having to go find it in the desktop.