Can I send screenshots directly to the desktop?
Unfortunately, no. Because of Apple's sandboxing, screenshots can no longer be saved to the desktop. However they can be saved to your Pictures folder.
The default action that's taken when making a screenshot is it gets copied to the clipboard. To change this, open the preferences by going to xScope -> Preferences. In the General tab, select what action you would like to happen from the "After taking a screen shot" dropdown box. You can choose from copying the screenshot to the clipboard, saving the screenshot to your Pictures folder, and asking for a file name.