gnome-panel-screenshot uses GnomeFileEntry, that uses old gtk
fileselector. The problem, as you can see in bug #132043 is that that
widget cannot be updated without breaking the API/ABI or doing a ugly
hack (implement both selectro and chooser and use one or other cheking
a flag,  for example).
Some others apps using this widget have the same problem.
A possible solution would be use a different widget (GtkEntry + Button
+ GtkFileChooserDialog?)

With the patch Carlos did on bug #132043 (plus glade register) this
will be as simple as:

diff -u -u -r1.14 gnome-panel-screenshot.glade
--- gnome-panel-screenshot.glade        23 Nov 2003 20:24:05 -0000   
  1.14
+++ gnome-panel-screenshot.glade        9 Feb 2004 19:31:09 -0000
@@ -266,6 +266,7 @@
                              <property name="max_saved">10</property>
                              <property
name="directory_entry">False</property>
                              <property name="modal">False</property>
+                               <property
name="use_filechooser">True</property>
  
                              <child internal-child="entry">
                                <widget class="GtkEntry" id="save_entry">

As soon as the libglade and libgnomeui patches go in, feel free to
commit this ... requiring the new version of libglade of course ...

The patch was only to libgnomeui (and their glade stuff in gnome-glade.c).
Committing this. Change gnome-panel to requiere libgnomeui >= 2.5.4
(just now it needs the cvs HEAD). The patch to glade-2 for editing
this property graphically is waiting for approval.