Linux does the same thing. In the case of Linux/X11, it's because an accelerated video overlay is being used -- instead of writing to a framebuffer that's then rendered onto the screen, you coordinate with the video card to have it handle scaling, colorspace conversions and blitting of that data directly onto a memory-mapped portion of the display.

Then the screenshot tool runs and dumps the framebuffer, and finds no image where your DVD playback is happening, because there isn't anything in the framebuffer for that window.