Couldn't hurt to be able to specify the location of the screenshots folder to ".../My Pictures/osu!" or where ever you would want to put it instead of having to go to the osu! folder everytime you wanted to get a screenshot.
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Specify Location of Screenshots Folder
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Workaround: Create a shortcut to the folder (or even the entire osu! folder) and place it wherever you want. However, I guess it wouldn't hurt to be able to specify. 
If osu!'s on the same partition as your target directory, and the FS is NTFS, make a hard link. Google.