It does not work when the mouse dialog is open, on the right mouse button. After closing the dialogue, a screenshot can be made. But this is not the case everywhere, it works in the browser, in Thunar and on the desktop - it does not work.
Sorry, not screenshooter's fault, see https://bugzilla.xfce.org/show_bug.cgi?id=12323#c9 It probably works on browsers because their context menus are not native.