It's all covered in Mcadam's article. The reason why the bag isn't in the crime scene photos is because two of the detectives took it with them when they left. Again, a little logic please.
"If the police officers forged a paper bag to explain how Oswald brought the rifle into the building unseen, wouldn't they have taken the time to photograph it where they were going to claim it was discovered on the sixth floor? "
"More importantly, how would they have known that Randle and Frazier were going to say they saw Oswald with a bag? They had not talked to either one yet. They were both friends with Oswald, so what motivation would they have to lie and frame him? "
"Among the six officers who did see the bag was Lieutenant J. C. Day, who not only saw it in the Depository but labeled it, "'Found next to the sixth floor window gun fired from. May have been used to carry gun. Lieutenant J. C. Day'" (4H267). Detective Robert Studebaker not only saw the bag but also dusted the bag for fingerprints while the bag was still in the depository. He also drew diagrams to show the placement of the bag (7H144-9). Both Officer Marvin Johnson and Detective L. D. Montgomery saw the bag and carried it out of the building to the station. Montgomery actually found the bag and left it so Studebaker could dust it for fingerprints (7H97-8). Detective Richard Sims, who assisted Lieutenant Day in removing the hulls, was also there when the bag was discovered (7H162). Officer E. D. Brewer was there for the discovery of every piece of evidence and hence saw the bag (6H306-8). While Montgomery and Johnson were leaving the depository with the bag, they were photographed by Jack Beers of the Dallas Morning News, William Allen of the Dallas Times-Herald and George Smith of the Fort Worth Star-Telegram. "
"The bag held a hard, heavy object that contained fibers matching those from the blanket the rifle was in and had Oswald's fingerprint and palmprint on it. But that's all a coincidence, right?"