You need to manually prefix it with the list identifier - [ ] in the quick capture window as that window doesn’t know you are making a list when it passes it on to the draft you want it to append to. When you do add the prefix, if you have the format as Markdown for example, you’ll even see the syntax formatting come into effect. If you are adding multiple items, you’ll see subsequent ones get the prefix automatically just like in a regular draft.
Once you have your additions set-up as a list, or even before you do that I guess, you can select the + option for your shopping list draft. Then select the append button to append one list to the other.
Note: You have a double space between your checkmark box and the list item, so you might want to put two spaces after the checkmark box in the quick capture, rather than the one space I used above.