The storage location is determined to depend on whether the photo/video file format or codec you want to download is supported by iOS.
By default Send Anywhere auto-save all received photos and videos to the Photos app and it is classified and displayed in the 'Photo' and 'Video' tab of the Send menu in Send Anywhere app.
However, if the received file format or codec is not supported by iOS version, it is saved in the 'File' tab of send Menu in Send Anywhere app instead of the Photos app. Make sure that the received file is saved in the 'File' tab. And, All files other than image and video are stored on 'Files' tab of Send menu.
If you don't want to be automatically saved in Camera roll of Photos app, Go to the top left menu(3 lines icon) > Settings and turn off the 'Auto-Save to Camera Roll' option. Then al the received image and video files will be saved in the 'File' tab of the Send menu within Send Anywhere app.
※ Please download and use other viewer or player apps that support a specific file format or codec. To open in another app, select the photo or video in the 'File' tab and tap on the 3 dots icon in the Send box at the bottom then click the 'Open in...' and select another app such as nplayer.
※ You can manually save the image and video files stored in File tab of the Send menu any time into the Camera Roll. After selecting a file, tap the 3 dots icon in Send box at the bottom and then click the 'Save to Camera Roll' button. (* If the file format or codec is not supported by iOS version, 'Save to Camera Roll' button is not displayed.)