Yeah, you can't screenshot video running in the overlay. Video uses the overlay by default because it can render the frames faster so plays more smoothly. All the other tricks to get a screenshot to work are really ways to force the video to not render in overlay to allow you to use the normal screenshot button.

Even then, my preference is to use a simple video editor like VirtualDubMod, since it's easier to grab the exact frame you want rather than hope you hit pause at the right time.