The bug is reproduced with any screenshot taking app (xfce4-scr, gnome-scr, ksnapshot).
1) Open any of these apps, take a screenshot of a region
2) Click copy to clipboard and click exit (xfce4-scr exits immediately after copying to clipboard)
3) Try to paste it somewhere -> Pasting will fail! (if app was closed)
Clipboard management has nothing to do with the window manager.
What you describe is the default (normal) clipboard management in X11, the content is not stored anywhere but the original application that will handle it to the asking (other) application when a clipboard operation is initiated. If the original application (the one that has the content to paste) is gone, then the copy/paste will fail.
That's why we have clipboard managers, to playthe role of the man in the middle who sill store the content even after the original application is closed...