An issue which has existed ever since Photo Mode was introduced in the Pathfinder update. The below issue is specific to Steam users on PC.
Using Photo Mode and making those lovely shots or screenies, will ONLY save them if Steam Overlay is enabled. When Steam overlay is not enabled, it should be using the user documents or pictures folder instead, but this is NOT the case. Trying a screen capture (print screen) will often result in a capture of your desktop instead.
So make sure to enable Steam Overlay if you want your pictures saved using Photo Mode!