I went at this one more time this afternoon just to see if I could come up with anything new. Went all the way back and started over from the beginning to make sure I didn't miss anything. Well, I have to admit I made a mistake. Not the first I've ever made and I'm sure not the last, just ask my wife.
I misread the storage location for my photos, mine are being saved to the device the same as yours. Sorry for the wild goose chase. I just didn't want you to move forward believing you had an issue. It is apparently made to only save to the device storage.
Sorry again for misleading you.