It seems like all screen-shots in Ubuntu 18.04 are saved by default into the Pictures folder. This is fine, or at least it would be if there was a way to change the setting. For some reason adjusting it with gsettings didn’t work for me. The code is below of anyone wants to point out why,
gsettings set org.gnome.gnome-screenshot auto-save-directory "/home/<insert home folder here>/Desktop/"
Other people appear to have run into this problem as well and Timur Kiyui has created the Gnome screen-shot locations extension to solve it. To install the extension go to the Gnome screen-shot locations extension page and either download it for whatever version of Gnome you have (I usually check by opening Files and then checking the About menu) or if you have installed chrome-gnome-shell you can slide the slider to the right and it will install itself.
To change where your screen-shots are saved you can either enter the folder location using the configuration to the right of the instillation slider on the Gnome screen-shot locations extension page or you can install Gnome Tweaks and change the save folder under the extensions tab there.