Quick update:
Unfortunately, this does not work for me. When I long-press that button, I get an empty error message (!) and no screenprint is saved.
Oh, I now see it is saved! But it only shows when you ask the device to display the 'State' file type (!).
But the empty message remains, and it sounds like an error beep (two short sounds) rather than a confirmation beep (one longer sound) when making a screenprint.
And, like all Siglent SDG machines, it seems the screenprint can only be saved to the internal memory, not to the inserted thumb drive. It's quite a job to copy-and-paste longer series of screenprints from internal to a thumb drive.