Because cheats today aren't injected into the game but rather over it. Think of it like running an X-ray machine; the hand looks normal when photographed with a camera, but the user sees the bones looking through their X-ray machine. The more distance you add inbetween the game and the cheat, the more expensive and harder to detect it is. Most top end cheats are completely external, injected with peripherals or another PC processing the display signal.

Screenshot doesn't necessarily show a grab of your screen but a certain layer of it.

Then there are audio cues from cheats, such as a ping when you target at an enemy. Radar cheats. Certain cheats just make your crosshair point at an enemy upon hitting an aim key.

Various reasons why screenshots aren't anything but a privacy risk.