I have just generated a few HiResShots from my app and there is no UMG rendered on the output files.
I hope this is rather a missing feature or a bug than intended behaviour. I could however think of several reasons why rendering UMG on this shots would be problematic…
I was reading over your post and I thought that this would make a good feature request. I have written up a report ( UE-14464) and I have submitted it to the developers for further consideration. I will provide updates with any pertinent information as it becomes available .