This is not a system setting that can be changed, it is an internal limitation of the application you use. This situation often happens in financial software such as banks. It is also a way for banks to protect their rights. Of course, it's good for users.
You can try to change the version of this application. In some versions, there may be no such restriction.
I tried it myself, even if you use the combination of power button and volume reduction to force screen capture, there will be a prompt. However, after changing the APP version, this problem was solved.