I've recently started having issues with my Mac. I'd create a screenshot on my Macbook, which would land in my iCloud/Desktop folder (I don't know why this changed, but right now instead of saving on my Desktop only it saves in iCloud/Desktop only). The files are saved as "Screenshot 2020-01-14 at 11.08.14.png".
Unfortunately I can't delete these files. Trying to delete them gives me the same sound as if the action was successful, but they still remain. I've had to manually log in to my iCloud account and delete them from there. I tried clicking on "Remove Download" but it doesn't do anything.
I'm on MacOS Catalina 10.15.1 (19B88)