Re print screen - I don't usually need to use this, but I believe it stores it in the memory, and so after print screen, you would need to open a graphics program, and paste it, then save that image. I'm sure one of our other picture gurus could guide you better.
As for the color palette, that does sound very strange.
Are you using any mods? If so, remove them and try again.
What happens when you set up a sim the way you like and save them to the bin? Do they keep their color customization, or do they lose those?
Can other custom colors be saved to the palette (eye, clothes, skin)?