When using the keyboard>>Application Shortcuts to launch xfce-screenshooter, the program will not launch when a menu is opened on the panel. It appears that when the panel's menu is opened, the keyboard shortcut doesn't fire.
However, if you want to capture the menu at the top, open a terminal session and execute the following one liner:
sleep 10s; xfce4-screenshooter -f
... then click on the menu and wait for the snapshot. The one liner will wait for 10 seconds before grabbing a full screen image. Adjust the sleep delay if you need more or less time to wait.