I agree this is frustrating. In Windows, the screenshot is automatically put in the clipboard for pasting later. In other distributions of Linux, it will open the screenshot app GUI for you, giving you the option to copy to clipboard or save to disk. In Debian Jessie I see a flash, indicating the screen shot was taken, and a new file, "Screenshot from 2017-02-01 09:31:16.png", is written to /home/mike/Pictures. No GUI shows up to tell you what happened. Your time and date and path will obviously differ from mine, but be similar enough to resolve your question.
Alternatively, you can proactively open the screenshot app from the Activities menu and select from its GUI what to do with your screenshot and when to take it.