It does not change the default save location. It lets the users use the native sharing of the iOS to share the screenshot with other apps.
As far as I know it is not possible to also capture the UMG elements without using C++ calling this function: http://api.unrealengine.com/INT/API/Runtime/Engine/FScreenshotRequest/RequestScreenshot/index.html
The only non-C++ workaround I know of is placing your UMG in a 3D widget - 3D Widgets are capture 
This obviously does not work for alot of cases though