the path for captures is relative to that
Ah, so that's what it was. My bad. I thought all captures would be saved in "capture" within dosbox configuration directory, which is in my case ~/.dosbox. Didn't think that it's relative to conf file, and I use separate conf files for each game in the game folder, so I should have just looked there. But when I didn't find screenshots in ~/.dosbox/capture, I just started giving absolute path to "/home/denis/Pictures/Screenshots" in my conf files, so I never found out that it's not a bug.
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I'd need more details as it works for me.
which configuration file is being used ? (as the path for captures is relative to that)