I am not refering to my FF name. My windows username has a space in it, it is two words seperated by a space. The file path that FFXIV has for the screenshot folder has only the first of these two words in the MYNAME part of the file path.
My guess would be that the game doesn't like the space in your username so it's only picking up the first part of it. I've seen this with a lot of IT applications and programs, especially older ones (and remember - FFXIV is like 9 years old). Usually can be fixed by encapsulating the folder path in quotation marks, or (as you've noted as the fix) - using a folder path that doesn't have any spaces in it.