The only problem with this idea I can forsee is that the application and therefore the screenshots can change but the documentation does not. For example, if the documentation says press "Options > Customize" but the application is updated so this becomes "Preferences > Advanced" then the screenshot will show the new text but the documentation will still show the old labels. This would be very confusing as it would be hard to correlate what is being shown on the screenshot with the text. If the user saw the old screenshot they could more easily identify that they were looking at an out of date documentation.

Having said that, have a process to automatically grab screenshots is going to make it significantly easier for a developer to update the docs so the motivation to keep the text up to date is going to be much higher.