Imported images and Captivate 9?

I was very confused by your question. You can import images and other assets into a Captivate file by using the import to Library functionality. Most assets will automatically be put into an appropriate folder that is available: SVG, Audio, Images, even Shared actions. You can create subfolders into those folders, which I recommend strongly for files with tons of assets because it makes it easier to browse the assets when searching for a specific one. However, that Library is not what you are talking about at all. You can use the Library of any other project as an external Library, a functionality that is not that well known but very handy for much used assets for different projects. I have such a Library for images, one for shared actions etc.

It is very strange that both the cache folder and the document folder should be your desktop? Are you sure? Check the paths in Preferences, General Settings. Those should be separate folders, because you have to clear the cache regularly and if you have both the documents and cache folders in the same location, you'll just delete everything. The Cache folders allow to launch an existing file quicker and in case of having a corrupt file, it also allows you to create a backup file. Since you are pretty new to Captivate, I really hope you already checked the option 'Create Backup' in the Preferences because it is off by default. The backup files are created in the same folder as your documents.

When you insert images into a Captivate project they are stored within the project CPTX file and published out from there.  You do not need to create folders anywhere unless it is simply to keep track of all the original files used to create the project in case you need to use them again somewhere else (which is not a bad idea).

The Project Cache folder should be moved to some location that is ideally NOT part of your user profile (as is the My Documents or Desktop).  You can change the cache location in Preferences > General > Default Locations.