I so agree with you there JawZ. It is mighty annoying! Even the .bmp files tend to look just slightly off. However in my messing around with blender atm, then I also noticed that its PP effects also tend to cause the saved renderings to look different then what they do in the program preview. Mainly it is a a slight change in gamma value that somehow sneaks in.So my colors, Brightness, Gamma and Contrast on my monitor shows the images as best as I can tell and it is darker in the pictures than what it is in-game because of image compression and some way it does not capture the exact scene luminance for some reason. I've tried Fraps, ENB and windows own picture capturing tool and they all suffered the same thing.
If you do find a solution to that I would be really interested!