Hey!
I use both apps together and I always select (using Rectangle or Command+A) and copy an image onto a layer and paste it into Illustrator. For example: when I want to know faster the exact proportion of a placeholder in a graphic mockup, then I just adjust the lines in Illustrator before copying it back to Photoshop.
Since the last update this trick is no longer working and sometimes it does.
MacOS M1 16Gb.