Sorry it's taken so long to come back to you.
They used to go direct into your bank account but the bank activity screen didn't show this - so yes, a little confusing. Also, the 1 million capping process would then take any excess out and move it to your savings account under My Account. Not good.
Now it's different - the 1 million cap now runs BEFORE the dividend payment is made so you'll now get the chance to use the dividend money - which is paid to your bank account (and and entry appears in your Bank Activity as well) without it being moved to you saving account.
You then have effectively until the following Sunday to use it before it's moved by the capping process to the savings bank..