There's actually an important edge case here: if you open the screenshot UI while recording the monitor, then the screenshot UI preview will show the window, and OBS, recording the screenshot UI preview, will hence also show the window. There are trade-offs here for how you want this to work; for now I put a big warning around the option, and added a stricter mode that blocks out the window from ANY screen capture (which means you can't screenshot it).
I think for the built-in screenshot UI this is solvable with one more layer of indirection (render the screenshot UI preview itself twice, once for screencasts, and once for the monitor). However, for third-party screenshot annotation tools, this will still be a problem.