This is expected, I believe, as the hotkey includes the modifier state. For example, the overlay hotkey is Shift+Tab. You can set the screenshot hotkey to Shift+F12 (or Alt+F12 or whatever) if you want, but there's no way to say "F12 with any modifiers."
Nothing extracted yet.
If I’m crouching in a game, like Half Life or Portal, and wish to take a screenshot I cannot, F12 fails to register if I am holding shift, alt or ctrl.
If I am running forwards (holding W) and hit F12, it takes the screenshot ok, so its not limited to just F12 being pressed.