Apple - Are iPhone screenshots geo-tagged?
According to macosxhints iPhone screenshots have no EXIF data, so no geolocation data would be saved. Not sure if this is still the case on the iPhone 4.
Screenshots are saved as PNG files on the original iPhone and the iPhone 3GS (the two models I had access to) and have no EXIF records. The only other metadata fields available are filename, file size, and modified, and imported dates.