A Gallery in Sprout Studio can be either:
Attached to a Shoot, and therefore organized on that Shoot's page. Go to the Shoots > 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.