You're not alone in that. It makes no sense at all, but it is what it is. I have reported this through the Feedback Hub quite a while back. So far, on every machine I've worked on (and I have one report of a machine that does something else), the windowed screen shots are taken via some mechanism that involves Xbox, and I suspect that's how this weird dichotomy came to be.
What's funny, at least to me, is that the naming convention used by the windowed technique that employs Xbox is much more sensible, though the place where the files are dropped is not.
At this point I'm in the, "I couldn't care less, so long as I know where to look for the resultant screen shot," phase. I have a sneaking suspicion that eventually both techniques will be merged with the resultant screen shots going into Pictures\Screenshots but with the file naming convention currently used by the windowed technique.
A Microsoft employee who frequents the Windows 10 for Screen Reader Users group even commented when I first reported on this that he was as confused by the current dichotomy as you and I are.
Brian - Windows 10 Home, 64-Bit, Version 1803, Build 17134
A great deal of intelligence can be invested in ignorance when the need for illusion is deep.
~ Saul Bellow, To Jerusalem and Back