You're right that is the way the image should be captured and saved in the Folder Screenshots. But sadly, some of the ROM manufactures remove this feature from the ROM, don't know why, but yes they do so and the user isn't able to use this feature.
I have a phone, Qmobile Noir A8 and on this phone I was able to capture the screenshot through the very same process and this was the very first phone I noticed Android OS has this feature too.
But then I installed a new Custom ROM on it.
http://www.incpak.com/tech/qmobile-noir-a8-jellybean-4-2-2-download/ (Link for the ROM)
And til then, I am not able to capture the screen shot using these buttons.
So the ROM you're using might not have this functionality or might have been overriden by some other function. If you still can't figure it out, you can try contacting LG for this issue. They would guide you in a better way.