Probably just user error. I do it myself occasionally.

As you know, the Snipping Tool puts in Capture.JPG or Capture.PNG as a default name highlighted in Blue you press backspace, it deletes the...

All is OK, no worries.

Your file does not have a .JPG extension, just add it to the filename.
Right click file > Rename with .JPG at the end.

This seems to apply to some others in your list.

1) Change your File Explorer display to show the extension letters. View Tab > Tick box for "File name extensions".
That will show you the full file name, and what sort of file you are dealing with....