Each OS has a different range of app access and different ways of saving files.
In order to save photos and videos received via Send Anywhere app for iOS, you have to grant Send Anywhere app access to the native Photos app, which allows you to save photos and videos to the Photos app's Camera roll. However, if the received file has a file type or audio codec not supported by your iOS version, it will not be saved to Camera Roll of the native Photos app but will be saved to Send Anywhere folder of the native Files app.
This is due to the unique structure of iOS. To maintain strong security, iOS uses 'Sandbox' system. iOS creates separate folders for each app, giving them their own sandbox to prevent them from being shared with each other, and preventing files and data from leaving that sandbox. As a result, you can only save files to the folder within Send Anywhere app, and you are unable to change the download folder location.
On the other hand, Send Anywhere app for Android grants Send Anywhere app access to your internal storage without having to grant access to each app individually, so it can save any files it receives to the download folder location you set in your internal storage.
The Gallery app categorizes and displays image and video files stored in your device's internal storage. However, if the received file has a file type or audio codec not supported by your Android OS version, it can't display files in the default Gallery app.
When you initially launch Send Anywhere app on your device, it will request permission to access the Photos app on iOS and internal storage on Android.