I think the issue is that there isn't any feedback when you take a screenshot. You have to take the screenshot and then open the file browser to see it.

The other issue Danny was encountering was that Wordpress uses a flash based file upload widget. When flash opens a choose file dialog it opens a GTK-like full system browser. The standard Chrome OS file browser that comes up when you hit a HTML file input is much simpler and would've made the screenshots easier to find.