Not being able to take screenshots was one of my major complaints when I switched from Windows Mobile to Android. I like being able to take them on the fly, without having to hook my phone up to my computer to do so.
The logic, for not doing it, is that a malicious screen capturing program could - unbeknownst to you - could collect information and upload it to a server whenever it wanted to. I'm not sure I buy into that logic, when every other OS out there is able to do this without any security risk whatsoever.