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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".

The first time I noticed this issue was when Apple introduced "Stacks" (circa Mojave). While it may be coincidental, the first time I noticed that I could no longer make changes to the Capture Tools' "Save to" settings was after I enabled the "Stacks" option on my desktop (e.g. right-click the desktop and select "Use Stacks".) However, after I noticed the issue with not being able to change the Capture Tools' "Save to" settings I tried disabling the "Stacks" option on my desktop and the "Save to" setting's functionality was not restored. So, I don't know if these two things are related, but I thought I would mention it in case it might help you in thinking about the issue.
Could you please try to use "Capture Area" tool from admin account? Does issue persist?I do have admin access, but I log in as a normal (non-admin) 99.999% of the time.