Yes it always come back out of the race when you came back to windows first.
And some times, screenshots taken that way don't show car car/cockpit.
A usefull tool as been released some time ago, allowing player to save multiple screenshots without leaving / swithcing GP4.
It's called FSScreen 1.1 and you will be able to found it here, thanks to Matthias Holzer:
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fly.to]
It's has been create for MS Flight Simulator but works perfectly for GP4. Bye