When I press the print screen key, I hear the sound and hear a popup, but when I try and look where they should be collected there is no screenshot folder. I'm using the Steam version and I installed my client on my drive, would that effect anything? I tried searching for file names beginning with "pso2020-" but nothing came up. Does anyone have an idea what the problem could be?

I see that you have file from the Tweaker there; did you install the Steam version with the Tweaker, or directly through Steam? Also keep in mind that the MS Store version and the Steam version have their own "Documents/SEGA" folder, so if you had the MS version one installed at one point, maybe you are looking in that one instead of the Steam one? Or maybe the "pictures" folder just got set to hidden somehow?

I downloaded the tweaker when only the Windows version was available, then downloaded the Steam version and now just keep both versions. Thanks for the possible locations!