You can create a rule for it. please see below creation rules for screen capture
Screen Capture Protection Rule – Monitor or block tagged data from being screen capture even using other third party tool (Snipping tool). The actual key is disabled (Print Screen).
Which HDLP version are you using?
Be aware about the new improvements in HDLP 9.3 patch 3 that was released last week:
Screen capture and clipboard improvements
Screen capture can now protect more than just keyboard Print Screen. An option on the Agent
Configuration | Miscellaneous page allows the administrator to enable the Print Screen handler, an
applications handler, or both. You define screen capture applications managed by the applications
handler in Agent Configuration | Advanced Configuration | Settings. Several popular applications such as
PaintShop Pro, OneNote, Snipping Tool, and SnagIt are included by default. Other screen capture
applications can be added.
Clipboard protection has been extended to allow control based on the Paste target application. Blocking
copy/paste to IM applications, Skype, and so forth is now possible. Blocking copy/paste from one
Microsoft Word document to another is also possible, or allowing copy/paste from a Microsoft Word
document only to another Word document.