Thanks OM.
You cracked it open, don't worry about testing every combination. It's enough to know about this behavior, and anyone else can test further if he's interested about his own particular case.
If what you want is to capture an image before it changes when you press the first key of a two-key combo, you can re-map the DOSBox keyboard so that one single key captures a screenshot instead of (or in addition to) the default Ctrl+F5. In my custom default mapper it's PrnScr.