I don't know if this is a bug? but when I try changing the save location from temp to F:\Factorio Time Lapse it never saves or creates any file there but I get the message saying it took a screenshot.

leaving the save location as temp works fine but I dont want my SSD filled with screenshots

Edit: I see now that chasing that save location only changes the folder but since the naming scheme is continuous I can manually move them to my storage drive.

Still would be nice to be able to directly save them to the HDD

Can you tell me where the files are going? even if set to the default of temp, it is taking the screenshots but I can't find them anywhere, even in the temp folder inside the factorio directory

Not sure how you change the directory, but the default is here: AppData\Roaming\Factorio\script-output\CTLM