What you see is what they will see.
I may have spoke a little too soon about it. If the GUI menu is outside of the game window, then they shouldn't be able to see it. If the menu is instead inside the game (like most of the older hacks), then they can possible bee seen.
It was, for the most part, confirmed when someone found the server which report screenshots were saved in. None of them seem to have full desktop screenshots. Just in-game.