Yeah, you can't use a Windows Screen Shot as an estimator for image quality or disk space savings in file format comparisons.

A screenshot is a special case: lots of large flat areas of the exact same pixel color. For those, you want a file format that will handle those sorts of things well: TIF, RLE, GIF, PNG. Those can datacompress the "unchanging" areas without any data loss, essentially like "zipping" the raw image file. In fact, saving a screen shot as a raw BMP file and then zipping it probably produces the greatest file size savings.

As soon as you start talking about a photograph, that's when things get fuzzy. Because a phototgraph never has two pixels next to each other that are exactly the same color. So you can't just datacompress the image, most data compression algorithms see that as purely random uncompressible data. That's why we have lossy algorithms like JPG. It changes the image each time it compresses it, but preserves the overall general visual appearance of the image. JPG will do poorly with a screen shot of a dialog box: You'll get swimmy blobby (faint) JPG artifiacts around window edges and fonts, and a larger file in the end.