It seems that there are different implementation for the 'filename argument'.
The official documentation say (http://robotframework.org/Selenium2Library/doc/Selenium2Library.html#Capture%20Page%20Screenshot):
...
under the directory where the Robot Framework log file is written into. The filename is also considered relative to the same directory, if it is not given in absolute format. If an absolute or relative path is given but the path does not exist it will be created.
...
The 2nd is in the Java implementation not possible. Java will append the given path and also not create.
It seems that there are different implementation for the 'filename argument'.
The official documentation say (http://robotframework.org/Selenium2Library/doc/Selenium2Library.html#Capture%20Page%20Screenshot): ... under the directory where the Robot Framework log file is written into. The filename is also considered relative to the same directory, if it is not given in absolute format. If an absolute or relative path is given but the path does not exist it will be created. ...
The 2nd is in the Java implementation not possible. Java will append the given path and also not create.