Other than cursors, what would not be included in a screenshot?

I am not sure that it is a fact that cursors can’t be included. I just tried to take a screenshot of a page with a particular cursor and some of the other cursors, and the act of pressing the Print Screen key makes the cursors blink, for the amount of time it is pressed. I look at the screenshots, no cursors. So, what other image/s would not be included in a screenshot? Or is there a way of ensuring that all images get included.