I didn't know it had a built-in screenshot function. I was just using the standard W7 Snipping Tool.
... Well, look at that... Audacity 2.1.2. Much of the Screenshot Tools functionality is broken. For example, "Capture Full Window" only captures the pointers, cursors etc from the panels. Capturing the result of a spectrum plot works OK. Capturing some parts of the window work OK, such as the Ruler and Meter. Guess I'll keep using the Snipping Tool meanwhile.