It is NOT a problem with a card. I have the same problem and I use an SD card that works fine for everything else (including saving photos when I take one with the camera). And all the other people seem to have no other problems with their SD card. So reformatting is NOT gonna work. It seems to be a bug that the "save screenshot" function simply can't save to an SD card. Sounds very much like a software bug.
And the solution to save it to your phone is not really a solution, as I use the SD card specifically cos I need a lot of space for my photos, and switching back between "save to phone" and "save to SD card" is way too much work.