Simple bug, you get nothing while the Turn Log dialog is opened. Doesn't work with the shift combination either, however, the basic functionality of Windows is not affected as you can still alt-tab out of civ and paste into Paint.
Haven't tested it much but I expect this is most likely the case for all "dialogs", why they act differently than "screens" is anyones guess but its unfortunate that you can't get shots with them up.
Haven't tested it much but I expect this is most likely the case for all "dialogs", why they act differently than "screens" is anyones guess but its unfortunate that you can't get shots with them up.