It is a known bug that Firefox and Chrome both have issues with trying to drag & drop urls or images from the browser to the desktop in Wayland that results in it opening a sticky note instead of creating a desktop icon or copying the image. A search for solutions online led nowhere, but I discovered the easiest way around this is to simply open the Desktop folder in Dolphin and drag & drop to there, and it will show up on your desktop as normal.
KDE Plasma 6.1 and Neon.