I typically just hit Cmd+C on the Mac and long press+Paste on Files on the iPhone. If you are using the iPad with an external mouse or trackpad you can also drag and drop it directly to the Mac.
As for the distinction between random JPEG files and the Photos app, I think that's actually quite good. I don't get my gallery littered with random images, and it also supports non destructive editing, among other features. Moving between the two is also fairly easy, you can use the Share sheet or just drag and drop.
The one thing I would change is that screenshots end up in Photos.app by default, I'd rather have them go to Files.