Currently, when an error message pops up in-game, but you are in chat mode, then you cannot type E to take a screen shot, since it is considered text input for the chat. So you may want to leave full screen mode to take a screen shot from your operating system. But if you press ALT-Enter then the error message window closes, too.
Ideally error message windows would not close on ALT-Enter but only on Enter. And even then, it would be nice to still have a way to take screen shots even during chat. The latter could be achieved by pausing or cancelling chat mode in case of an error message window popping up.