Under DCIM, from the app Files I can see two dirs, namely .thumbnails and OpenCamera.
From Telegram within Shelter also a Camera dir is available. This last is not visible when I connect the phone via USB, both in PTP or file transfer mode.
The pictures contained in Camera are nevertheless and quite confusing available under the app Gallery/Albums.
What am I missing in this weird (to me) behaviour ?
Under Shelter you use a different user profile, with separate storage.
To see this storage in Files, you’ll have to run Files within Shelter.
Unfortunately, I don’t know if it’s possible to see this “second storage” with MTP (USB).
AFAIK, Camera relies on Android Media database, which indexes … everything 
Unfortunately Files under Shelter can see DCIM dir, but not those under it.
To me, a Linux user, also in stock android the management of files and pictures has been always unclear.
I expect that the main user could be able to see all the dirs and the one in Shelter not. But the case seems to be the reverse.
Maybe the DCIM dir is empty ?
Out-of-the-box, Telegram may use it’s own folder (Telegram).
Normally no user could see other’s private files …
But some system apps may see all, and list them for every user.
This is what is confusing and frustrating me the most !!
What I see (I am allowed to , actually!)
Files under Shelter:
DCIM/.thumbnails
Files STD user:
DCIM/.thumbnails
DCIM/OpenCamera
Select a file from TG. under Shelter
DCIM/Camera
This situation leave me with a sense of not controlling the phone, since something appears and disappears.
You know, in Linux you are not allowed to write in the system unless you are su or sudo or root.
But you can SEE at least what is present in your HD !!
That is confusing!! I couldn’t really understand what you saying so I went to have a look at Files app on my phone. It seems to be a different layout to yours.
DCIM/OpenCamera
Pictures/.thumbnails
/Screenshots
Telegram/ has 4 Telegram folders:Audio,Images,Docs & Vids
When connecting to pc I couldn’t see an full and accurate representation of the folders in Telegram folder.
I looked again at the phone to make sure I was looking in right place and when I went back to pc everything had settled down. Now I was seeing what I was expecting to see.
I also noticed the setting in Telegram Foss app (maybe yours is different app) : Chat Settings>Save to Gallery. Toggles on and off pictures being displayed in Gallery.
I know, @chrisrg, that is confusing !! If it was clear I did not seek the forum help.
The main issue is that I apparently have a DCIM/Camera folder that is visibile only from within Shelter/TG/Files and from Gallery/Camera.
I am interested to know if you have a very good reason to be using Shelter? 
I want to keep TG separated from the rest. TG is only incidental here. It made me discover the Camera dir, not accessible from the Files app
Another way to keep Telegram separated would be to add a “new user” under multiple users. Then your TG user could live in a similar world to Shelter, but your Linux hierarchy would look more normal.
Thanks, @aibd. I’l try your method on my tablet.
The hidden dir problem remains unsolved. What if I want to copy or move some files from there ?
Then you and I are back to understanding:
where Android lives on shortcuts, but some of us believe in a nice hierarchy.
Include me among those believing in the hierarchy !! OK, shortcuts, I can live with. Is there an app to manage files the Linux way. Termux ?
Ha ha, Termux will certainly demonstrate how difficult the filesystem is to navigate! but it will be a good way to learn.
I think apps will always demonstrate the Android way. 