The Windows versions of Ren'Py games saves the screenshots within the game directory, meaning that the user needs to have writing access rights to that directory. A message on screen will say if it was successful or not also naming the correct path.
If you don't get such a message, I guess they key doesn't work after all.
But I am sure the Mac has its own ways to allow taking screenshots, no? In Windows there's plenty of options (my favorite is Win+PtrScr, that instantly saves the full visible screen into a file).