CleanShot X has a nice update (version 4.5) that allows you to control the background of a screenshot.

Before this update, you could only apply a background when you did a full screenshot, and there was no option except for your current wallpaper (I think šŸ¤”).

If you want to use the new background feature with the window screenshot option, you must set the default background as transparent.

CleanShot Background Options