Those FPS stat is probably in Slate debug canvas and that why it cannot capture in screenshot.
From the top of my head, Just place TextRenderActor in front of camera and assign fps text to it.
Other alternative is UnrealInsight bookmark.
You can write your own UnrealInsight bookmark with your custom naming.
This is also shown in UnrealInsight graph.
By the way, You will need to write C++.
#include "ProfilingDebugging/MiscTrace.h"
void UYourBlueprintFunctionLibrary::InsightBookmark(const FString& BookmarkText)
{
TRACE_BOOKMARK(TEXT("CustomInsight %s"), *BookmarkText);
}