Tethered shooting does not save picture to computer

[Titanuim]

I can see the live view after tethering connection, but the actual picture is not saved to in PC.

Screen shot.

https://shared-assets.adobe.com/link/cfcbd003-81fc-4edf-62a3-0743be7ec211

Use Canon 5DMark II / EOS R / EOS 80D.

[florianw5007927]

I see you use the tether option directly. Did that work for you in this setup earlier? 
I use my canon cameras always in combination with the eos utilities. There i choose tethering - create a folder for "tethered shootings" - in LR i choose auto import from folder - and there i take the just created folder. 
So i get my images into LR - and that works perfectly. 

[GoldingD]

This is in still mode?

https://helpx.adobe.com/lightroom-classic/kb/tethered-camera-support.html