Try typing /screen into chat and look for the popup selector. Gives a variety of options that you can select. Doing the screenshots this way with one of .jpg options seems to be more reliable for getting screenies.
That has been mentioned with identical results earlier, before I upgraded my PC (old 4 year old XP rig) the PrntScrn -> paste function worked just fine.
The Screenshot folder wasn't there and I had to create it on the current install/new computer.
Sorry for the Necro but the problem still persists here on the forums and from players in-game, waiting on a fix, kinda annoyed after purchasing that lifetime sub. Also to those creating new topics for the same problem look up previous posts and post there (here!).
I also tried running it in XP compatibility but not also did it not work sound fx and music cut off.