Because the data in the overlay doesn't exist in the screen bitmap...it's a bit like a video colourkey/genlock. The video unit keys the data (usually in some native video) format before it gets fed out to the display.
Without knowing much anything about overlay, of course it could be seen as a "limitation", since it would of course be possible to find out that there is an overlay, get the overlay data from somewhere, and insert it into the picture where it belongs. But of course this would be quite complicated, compared to the normal screengrabber utility. :)
About me, the overlay is used to insert a video on your desktop with a refresh display constant. If your display desktop slowdown, your overlay continu displaying correctly.
Desktop picture and overlay picture are computed separatly and mied in the end like a genlok does with 2 pictures.
This problem existes on other systems like Windows or macos. If you want grag an overlay, you must have a spécial graber.