There’s currently no way to make it capture into the folder that’s selected in the window, but you can use Capture with options and select the folder in the options dialog. There’s a keyboard shortcut of o Command-2 to open the folder menu. It will also remember what you chose so that, if you capture with options again, the same folder will be selected and you can just press Enter to capture into it.
I tried option-F18 in Safari and nothing happened. Using F18 alone worked as usual.
I checked if option-F18 wasn’t already used for some other shortcup and didn’t find anything.
I looked and I found that I had indeed changed the Capture with Options preference to F17, probably a long time ago, and never used it. So I forgot about its existence.
It works. I’ll see if it’s helpful the next time I need to capture a bunch of files.