I don't see any way to capture the mouse pointer when I press "Print Screen" (it opens Xfce4 Screenshooter but there is no checkbox for this and it does not capture the mouse by default).
This seems to be a configuration problem by your distro/provider. You can/should pass -m to xfce4-screenshooter where the "print screen" keybinding is configured if you want the mouse pointer to appear on the screenshot.
But what is the point of having that option and removing it from the UI? BTW: I tried this on Ubuntu Studio 14.10. The option is visible in the Help page at file:///usr/share/doc/xfce4-screenshooter/html/C/index.html#user-interface but it is not present when I open that same screen with Print Screen.
It's always a choice to do between having all options available in the UI, and the ui is totally unusable/cluttered, or only providing the most often used options in the UI, and the other ones as commandline switches. And note that the checkbox for 'capture the mouse pointer' is here when xfce4-screenshooter is called without arguments, it's just greyed out/inactive when you want to select a region, since by nature you do this with the mouse.
None of these makes the actual screen to be equals to the one in the documentation (It is not grayed out. It is missing!): helder@std:~$ xfce4-screenshooter -m The --mouse option is only used when --fullscreen, --window or --region is given. It will be ignored. helder@std:~$ xfce4-screenshooter -m --window (xfce4-screenshooter:9752): Gtk-CRITICAL **: IA__gtk_icon_info_load_icon: assertion 'icon_info != NULL' failed (xfce4-screenshooter:9752): Gtk-CRITICAL **: IA__gtk_icon_info_free: assertion 'icon_info != NULL' failed helder@std:~$ xfce4-screenshooter -m --fullscreen (xfce4-screenshooter:9762): Gtk-CRITICAL **: IA__gtk_icon_info_load_icon: assertion 'icon_info != NULL' failed (xfce4-screenshooter:9762): Gtk-CRITICAL **: IA__gtk_icon_info_free: assertion 'icon_info != NULL' failed helder@std:~$ xfce4-screenshooter -m --region (xfce4-screenshooter:9767): Gtk-CRITICAL **: IA__gtk_icon_info_load_icon: assertion 'icon_info != NULL' failed (xfce4-screenshooter:9767): Gtk-CRITICAL **: IA__gtk_icon_info_free: assertion 'icon_info != NULL' failed
The checkbox for "Capture the mouse pointer" is here *only if* you dont pass arguments to xfce4-screenshooter.