The preview thing is really handy as you can directly drag and drop it into a document or chat window or whatever.
After you’ve done that it won’t be saved, which is great as you can quickly snap and use a screenshot without having to switch to the Finder - and the desktop doesn’t get cluttered with hundreds of images.
A huge problem with this is that some apps don't "accept" this drag and drop, and the preview just disappears without saving the screenshot file. I can't remember the exact apps which behave that way, but I've been burned and irritated multiple times because of this. As a result, I disabled the preview feature and added the screenshot folder to the dock just like OP did.
After you’ve done that it won’t be saved, which is great as you can quickly snap and use a screenshot without having to switch to the Finder - and the desktop doesn’t get cluttered with hundreds of images.