Hey, me again. I just ran into this issue myself. I'd moved my Shield TV to another room temporarily and took with me the HDMI cable then plugged it into the other tv's rear "INPUT 5" as that was the nearest available HDMI input. Played some games on the Shield, no problem. Then I noticed the screenshot ability was LOCKED, same as you guys reported. Same cable as before, so no it was not the cable. Took the Shield back to my usual tv, no problem, screenshots possible. Took it back to the tv it didn't work on and happened to plug it in to "INPUT 4" this time. Screenshots possible. Swapped it to INPUT 5, LOCKED again.
Either certain HDMI inputs have limited capabilities (unlikely) or the DHCP function of my INPUT 5 is broken.
SUGGESTION: try another HMDI input on your tv.