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The screenshot has to be contained in something to separate it from the page around it, and window chrome makes it feel a lot more real and less like a mockup. A black border or something wouldn't quite have the same effect.

The CSS for the images in the post already adds some padding and a 1px border, so there you have your separation.

Take a look at your comment history. There is so much unnecessary hostility!

I've got balls of steel.

With many screenshot tools there's a 'capture this window' option, which makes it much more easy to grab the output of a window than choosing 'select a box' and dragging a square over the entire window minus the chrome.

That said, it doesn't look like they did that here...