Yes,
I've even tried remapping the keys to different ones. If I take a standard screenshot then I can find them where you say without issue. If I use the hi res screenshot key - F9 (even if it's remapped to another one) then I get no screenshot. It seems for whatever reason that the hi res option just isn't working for me and it's really frustrating......
Is it worth uninstalling and reinstalling maybe? I've verified the integrity through Steam.