How are you taking the screenshot? I only ask because completely black sounds like the application trying to take the screenshot can't read/view the display (possibly because you run the game as an administrator so the application can't see the contents or possibly it's a DirectX 9/11 thing).

You could use the built in screenshot function (there's some basic options under System Settings for where/how to save the files), but they do add some small Square Enix copyright text on so I can understand if you didn't want to use that.

Personally I just use Steam's overlay to take the screenshots (using F12, although not sure if that was default or I changed it to that), just run the game through Steam, even if you didn't buy it from Steam works for that.

Or you could just try using Alt+Printscreen key combination to copy the window to your clipboard and then paste it into the application of your choice (not tested, but should work).

Sorry this is a bit vague, but if you can describe more how you're trying to take the screenshots we can try and assist further!