I think the curious thing is that the Parallels Capture tools can't maintain their own "Save to" settings. In other
words, when I change the "Save to" setting to say "Desktop", and then I click "Done", the change is not saved - because if I immediately check the setting again (even though I haven't even taken a screenshot yet) the "Save to" setting has reverted back to "Clipboard". No matter what I choose for the "Save to" setting, it always immediately reverts back to "Clipboard" as soon as you click "Done". Furthermore, if I choose "Other..." in the "Save to:" dropdown list and then I pick a folder from the resulting Finder window and then I click "Select", the "Save to:" option will be instantly reverted back to "Clipboard" even before pressing "Done".