The whole realm of digital image intellectual property rights is still very much in the air.
As a practical reality, ones rights only go as far as the reach of their lawyers and wallets. My own point of view is that the wishes of the artist should be considered very much even if you think the law is on your side.
The Skins Factory, who I consider to be a Stardock business partner, takes the view that a screenshot of their work that has been altered is NOT fair use.
I think the legal issues on that are very murky and would go something like this: By altering the work of the artist, particularly one engaged in a business enterprise you are potentially misrepresenting their work which could potentially cause financial harm.
Let's use Apple as an example: One of Apple's arguments against Aqua skins at the time was that such skins gave a false representation of what the Mac interface was. Mac skins misrepresented the MacOS and therefore they had a legal right to put a stop to that.
That happens to be a legal position I agree with btw. The problem comes into the realm of enforcement. You can't selectively enforce your intellectual property rights. When Apple objected to *screenshots* of Aqua, we complied with their wishes and took them down along with skins that were up. But Apple eventually stopped trying to enforce this and sites like AquaXP, Aqua-Soft, and other skin sites and even competing programs started including Aqua-like skins, themes, screenshots, etc. This put us at a disadvantage that we eventually had to finally say "Okay we're going to let Aqua-like skins up here". But if Apple were to request us to remove them, we would agree with their legal right to make this request so long as they made the same request of the other sites and followed-up vigorously on other sites.
In short, my legal opinion is that The Skins Factory objecting to screenshots of their skins that have been ALTERED may have merit depending on the circumstances.
However, a screenshot of a skin that has NOT been altered is a different story. If someone puts out a skin on a public site for download, I have the right to post a screenshot of myself running it.
That said, IF a skinner came to me and politely asked me not to put up such a screenshot, I would probably remove it. But if the skinner was aggressively or made threats to me, I would be tempted to put up 10 such screenshots. (As someone who has been sued over the years on occasion I have a real sore spot on people making legal threats).
But as a practical matter, like I said, your rights extend as far as your lawyers can reach. So if you feel your intellectual property rights have been violated, the BEST route - always - is to try to politely and nicely request that stop doing what is upsetting you. Don't make threats. Don't be nasty about it. Pick your battles.