It's really not intuitive (one would expect them to be saved to the DB and logs), I had to resort to using Blue Prism's help function to find them.
Right click the runtime resource in the control room, and choose 'see latest screen capture'. Only the latest exception screen capture is saved, but once you've opened it you can save it to disk (by right-clicking the image).
Note that there is also a setting you have to enable for your environment (System>Settings>Allow Latest Runtime Resource Screen Capture), otherwise it silently fails to take a screenshot.
