macOS Catalina (version 10.15) implemented a new security setting for applications that want to capture or record images of your screen. In order for ScreenSteps to capture screenshots you will need to grant ScreenSteps permission to do so.
When you first launch ScreenSteps on macOS Catalina the Screen Recording dialog will appear explaining that ScreenSteps would like to record the computer's screen. Although ScreenSteps will not capture a screenshot of your screen until you explicitly start a screen capture session, the permission dialog is displayed when ScreenSteps launches.
Click on the Open System Preferences button to open System Preferences.
When the System Preferences > Security & Privacy > Privacy section is opened the Screen Recording category will be selected and you will see ScreenSteps listed on the right. Check the box next to ScreenSteps in order to give permission for ScreenSteps to capture images of your screen.