The screenshot was not automatically saved to the Screenshots folder after it was taken.

Since Print Screen still copies the image to the clipboard, the keyboard itself is probably working. The problem is more likely related to the automatic save location used by Windows + Print Screen.

First, check both of these folders:

C:\Users\YourName\Pictures\Screenshots

C:\Users\YourName\OneDrive\Pictures\Screenshots

If OneDrive is backing up the Pictures folder, Windows may be saving screenshots under OneDrive instead of the local Pictures folder. Microsoft notes that screenshot backup is now tied to whether the Pictures folder is included in OneDrive backup. 

If the files are not in either location, try these steps:

1. Restart Windows Explorer from Task Manager.
2. Right-click the Screenshots folder, select Properties > Location, and confirm that the path is valid.
3. If a Restore Default button appears, use it and then restart the computer.
4. Make sure your Windows account has permission to write to the Pictures folder.
5. Temporarily pause OneDrive folder backup and test Windows + Print Screen again.

You can also search File Explorer for:

Screenshot*.png

This may reveal that the files are being saved somewhere unexpected.

As an alternative, press Windows + Shift + S and use Snipping Tool. The capture is copied to Snipping Tool, where it can be saved manually, and recent versions also support automatic screenshot saving through the app’s settings. 

Microsoft’s expected location for screenshots created with the keyboard shortcut is Pictures > Screenshots, so if neither the local nor OneDrive folder receives the file, the Pictures-folder redirection or permissions are the most likely causes.