tl;dr If you change the screenshot destination setting to anything besides Desktop on the Touch Bar it will override the default behavior of the keyboard shortcut and use your setting from the Touch Bar.
I recently got a 2018 13" MacBook Pro with the Touch Bar and it has been an amazing machine. At first I didn't really love the Touch Bar, but the more I try to use it the better it gets. The idea of replacing those old function keys with a dynamic display is smart, although I would prefer a physical button for the escape key.
I was taking a selection screenshot (command-shift-4) today and noticed that the Touch Bar had a couple options on it for the destination of the image (Desktop, Documents, or clipboard) and the thing to capture (selection, window, screen). I always struggled with the keyboard shortcut for copying to clipboard (ctrl-command-shift-4), so I was delighted to be able to trigger the "file" destination shortcut, but change it to the clipboard using the Touch Bar.
Fast forward to later in the day... I was using an external monitor with the MacBook closed and tried to do a selection screenshot (command-shift-4). I selected the area to capture, let go and waited for the file to appear on the desktop, but nothing happened. I tried again, but tried pasting into Messages and to my surprise the image showed up. Turns out if you change the screenshot destination setting to anything besides Desktop on the Touch Bar it will override the default behavior of the keyboard shortcut and use your setting from the Touch Bar.
In order to change it back you have to get the screenshot controls to appear on the Touch Bar and set the destination to Desktop.