Screen captures while not playing seems excessive. But a screencap while you're playing seems like a quick and easy (albeit manual) way to determine if someone has gotten a render hack past detection. Right?
Still seems pretty invasive to me! Especially considering that platforms like Steam has integrated in-game social networking features like chat, meaning that the game company could potentially pry into your private conversations.
Well the whole point is to be invasive. The idea is to lock down the PC into a console-like platform. Without turning on TPMs, secure boot, and remote attestation, the only way to make sure the user isn't running modified code somehow is to effectively rootkit their system and spy on everything.
The anti-cheat stuff runs as part of the OS, so the company can do pretty much anything they feel like. I'd assume they only bother with screenshots on suspected cheaters, while they're playing. Otherwise it's a waste of effort on their part. But if you don't trust them to handle screenshots possibly containing snippets of IM, then you shouldn't be running their binaries as root.
What OS are you running? If you trust your OS vendor enough to run their binaries as root then you shouldn't be too worried when they screenshot your machine every minute and post the images online so your family can see the kind of porn you watch...