Correct me if I'm wrong, but on PS5 you'll need to send individual images to a friend, to be able to download them from your chat session on the mobile app.
That's the way on PS4. PS5 automatically sends all photo and video captures to the PS app on your phone. They disappear after 14 days, so if you don't save them within two weeks, then you have to get them with chat posts like PS4.