I meant to post this a while back, but it just occurred to me (again?) today.
If you don't have a propensity to take dozens of screenshots this probably won't affect you, but if you've owned the game for more than a few months you're likely to be bitten by this particular issue. Guild Wars 2 will only store 999 screenshots in its screenshot directory. File names start with gw001 and end with (you guessed it!) gw999. It's possible to move the directory out of the way by renaming it even while the client is running to extend this further, but since Steam has no such limit (assuming you have the space!) why not use it instead?
Of course, the one downside to this method is that Steam's screenshot capture is less performant than the native GW2 one. But hey, I've been getting sick of playing directory footsie.