You also need to enable the Show in the corner of the screen option, or Offer to download in the PRO Screenshot plugin. In the first case, when you click on the button, the screenshot will appear in the lower right corner of the screen. The user can save it with the right mouse button (long press on the smartphone), or delete it with a click. In the second case, the player will immediately offer to download the file, as screenshot.jpeg
In the Screenshots plugin settings, you can also enable the label that will be displayed in the screenshot in the lower-left corner. You can set the font size and color of the label. Specify domain in the text field and the player uses the domain of the page as the label.
Image creating requires cross-domain permission if content is loaded from another domain. Files may require server configuration — the header should contain Access-Control-Allow-Origin: * and the Services / Cross-domain (CORS) option is enabled in the settings. If the video plays muted, then something is wrong with the cross-domain policy (look in the browser console). For HLS and DASH streams everything is usually already set up and no manipulations are needed.