I too have been confounded by receiving screenshots in word docs before. Microsoft need to copy Apple’s way of doing it – the default behaviour on the Mac is for screenshots to appear as numbered (and now dated) files on the desktop. You have to hold down an extra key for them just to be copied to the clipboard. There are lots of wonderful features as well, like the ability to capture a single window, icon, menu or arbitrary portion of the screen which is very handy.