I am running FrameMaker 2015 on Windows 10 via Parallels on my MacBook Pro.
I've never been able to get good-looking screenshots in Frame or WebHelp so I did some capture and format tests.
I got fairly good results by capturing screen shots in Gimp and exporting them as PDFs. I imported those PDFs by reference into FM.
When I used FM Publisher to generate WebHelp, all graphic formats I used (EMF, PSD, PNG) appeared in the Help, but the PDF did not.