A gallery in Sprout Studio can be either:
Attached to a shoot, and therefore organized on that shoot's page. Go to the Shoot > Galleries page to view all galleries attached to a specific shoot.
Unattached, and therefore not associated with any specific shoot. Go to the Galleries page to view all galleries (including those attached and unattached).
You can set whether a gallery is attached or not (and to what shoot) when you are creating the gallery in the "Add Gallery" modal, or you can set it/change it when you are editing the gallery.
To change whether a gallery is attached or not (and to what shoot), select the "Attached To" dropdown in the "Save" panel while editing a gallery.