While this sets the directory where screenshots get saved, there is no option to set the name of the screenshots. This isn't a problem by itself, but if you share the image with Windows users, it is impossible for them to open such files.
There is a simple hack to rename these screenshots immediately after their creation.
First install inotify-tools
yum install inotify-tools
Then run this command:
while true; do inotifywait -e CREATE ~/Screenshots && rename 's/\:/\_/' Screenshot/Screenshot*.png; done;
When this command is run, everytime you save a new screenshot in
~/Screenshot/ directory, the script will rename every file containing
: with _