Currently, onedrive uploads all photos from different folder on my mobile phone to the same "Camera Roll" folder, however on windows it saves screenshots to a different folder "Pictures\Screenshots"; That would be very convenient if it was possible to do the same thing on phone.
The OneDrive app doesn't currently support this. It looks like it's already been suggested on UserVoice several times, but this one looks to have the most votes, so you can add your support there as well.
Alternatively, you can try third-party apps that support OneDrive accounts, like FolderSync. In the case of FolderSync you'd need to set it up a little differently, because it doesn't have a "upload pictures" setting to my knowledge. Instead you can set up a one-way sync between your phone's camera folder (or screenshots, or what have you) and a destination folder in your OneDrive account.