I have to make a selection which the closes the Dialog Box in order to regain control of SC.

Dont know -
as I said SC is not designed for working with PDF files (and I have no idea if it supports drag n drop) so just cancel out of the dialogue and stick with image formats



EDIT// yeah, you're right: it wont capture those drag and drop dialogue boxes - it also wont capture the auto-hide Capture bar on the top of the screen - but it will capture everything else :-)