This isn't really intentional. It happens because all 3d or MPEG rendering is hardware-accelerated these days; the pixels are written or decoded on the GPU and never exist in the framebuffer that Windows knows about. To take a screenshot of that, you need a media player or screenshot tool that knows how to dip into the hardware-accelerated rendering. The basic snipping tool can't do it. Steam generally can although it's not perfect.

Is that actually windows or just their crappy media player?

I take screenshots in Windows all the time. Maybe your keyboard is broken? ;)