Same here. I think this is an issue with the Preview app. Week old M4 Airbook running Sequoia 15.3.2.
I have set my screenshots to automatically open in Preview so I can immediately name them and choose their location. I can't make heads or tails of it. Pressing 'Return' never works, but once in a while pressing 'Tab't or clicking into the next field manually will work. Most of the time, like right now testing it, there is nothing I can do to save the Screenshot/Preview file with the name or location I want. It just reverts back to Untitled and saves the file in the Preview folder in iCloud.
I have to then go to the Preview folder in iCloud and name the file from there. This now creates a copy which I do not want and one file, in Preview/iCloud, with the correct name. I have to delete the copy and then drag the correctly named file to the location I have been asking it to be moved to, which in my case is the Desktop.
More annoyingly, the next screen shot I take has the location 'Desktop' selected and I can't name the file or change the location just like before. So it's remembering the last location I asked for, not sending it there, but selecting that location for the next screenshot.
On top of this, if I have Caps Lock on the blue 'caps lock' arrow symbol in whatever field I'm in starts flashing rapidly, as though something is wrong, like a glitch. Extremely annoying.
CRAZY annoying actually, particularly after spending 2k on a new laptop days ago. Apple bums me out on the regular these days. This is just too basic of a function to not work properly out of the box.
And now this misbehaviour. Sorry for the double post, nothing is working correctly today!
: