First of all I suggest that you check the key assignment from FSX Settings/Controls. It should look like this.
(Note that I've also assigned it to Button 02 on my joystick.)
If it still doesn't work you could use a 3rd party screengrab utility. Martin Wright's
MultiGrab works well for FSX & Windows 10.
It automatically saves the shots in your preferred format to a selected folder by pressing the PrintScreen key.
Note: You might need the
Latest dll Set from the download page if you don't already have it.