Stop macOS VNC server from rendering remote mouse pointer
Solution 1:
It depends on where you take the screenshot.
Even with Apple Remote Desktop if you invoke the screenshot on the local Mac it will include the cursor on the remote instance - which has no clue a screenshot is being taken.
If you invoke it on the remote instance the cursor will hide.
If the key commands are the same for both local & remote, then the local instance will launch in preference to the remote.