I don't have to click it, the site shows replies by hovering over a post number. And if I click through post numbers in a discussion chain, I can achieve the same kind of nested look as in that screencap. It's not enabled by default, it appears only if you click to make it look like that.
Nested replies are good enough for screencapping, IMO. They end up looking a bit messy if the posts have images along with text, though; the images aren't aligned well with the posts. That's why I was wondering if you knew of a better option that can improve the look of the screencaps. But it kinda sounds like you're using the native extension and don't have any familiarity with the alternatives.