This appears to be a new feature of El Capitan, as I was unable to reproduce this behavior on OS X Yosemite.
In my testing, I’ve verified that using the following commands work:
- Take a screenshot of the entire login window: Command+Shift+3
- Take a screenshot of a user-selected area of the login window: Command+Shift+4
The screenshot file(s) will then appear on the desktop of the next user to log in.
To distinguish these login window screenshots from screenshots taken while logged in, the login window screenshots’ filenames begin with LW.