For Unreal Engine on Windows, the folder location being captured to is found in your Project Settings > Editor - General Settings under Screenshots option called “Game Screenshot Save Directory” which is usually within your project directory like:
…/Saved/Screenshots/WindowsEditor/
In addition for UEFN things are slightly different however. There’s actually an environment variable that can help locating these images within (more generic instead of project bound) local application data in case you missed the short pop-up:
%LocalAppData%\UnrealEditorFortnite\Saved\Screenshots\WindowsEditor