I thought the same thing was happening to me, but it turns out I was not in PRO mode. In your camera app, if you see the word PHOTO above the white circle, you are NOT in PRO mode. Instead, click on MORE over on the right, then on PRO in the icon list. Then, both raw (dng) and jpg versions of photos you take will show up in the Photos app. You can also get to them from your PC using the path (in my particular case): This PC\Galaxy S20 Ultra 5G\Phone\DCIM\Camera
Hope that solves it for you.