It might not be writing to your "User\Documents\GTA San Andreas User Files" folder.
Go to your "Computer" folder, and search for "sa-mp-007.png" (or the exact name of a screenshot you know you've taken). This should find the file, and you'll be able to see the folder everything is being written to.
In the "User Files" folder you find, right click, access the properties for the permissions/security. Click the "Edit" button to change permissions. Add the groups "Users" and "ALLAPPLICATIONPACKAGES" or something like that. Tick the box to apply full permissions to both of the above groups. In theory this should grant write access to that folder for SA:MP and your chatlogs and images should start saving.
This is from memory so sorry for how vague it is. This is assuming that your problem is exactly the same as mine, and again, that might not be the exact case!
No idea why the files aren't saving in the original GTA San Andreas User Files folder, it could be a permissions issue there, I'll look into it at some point, too busy at the moment!