I tried this app on my unrooted IS 2.3.5 and a toast message "screenshot saved to camera shots" appeared. I checked the folder /sdcard/DCIM/ and it did really screen captured. Strange enough the app saves also another copy of the screenshot in its folder too.
https :// market.android.com/details?id=com.edwardkim.android.screenshotitfree
So I'm pretty sure HTC did included the native screenshot API in the ROM, just out of unknown reason excluded the hardware key combination to trigger it... Guess I'll have to stick to the app above to make screenshots for now. Or maybe someone figure out how this app triggered the native screencap api.