There should be an option under the ArcadeOS menu that says something like "Display" , this is where you need to indicate that you want to use screenshots etc.. I usually get to the menu by pressing "2" and then going into "ArcadeOS config" options. Can't remember what the exact options are at the moment, since I'm not at home to test it? Hopefully I've helped? I'll take a look at ArcadeOS tonight and verify.
Steve