I tried CTRL+F as indicated in the options UI but nothing appears in any of my folders (Steam, Windows Pictures, FAF folder, Supcom user folder).
This is the folder I have "Gas Powered Games\Supreme Commander Forged Alliance\screenshots"
To get there, I can go into the "hamburger menu" and click on "Show map folder"
That takes me to the "Supreme Commander Forged Alliance" folder. One of the subfolders is "Maps" but another subfolder is "Screenshots"
Were you holding any other buttons when you pressed Ctrl-F? For example, I don't know if it takes a screenshot when you are holding the space bar. If you want to move the camera without holding spacebar, you can use Ctrl-V to do free camera.