Thanks for your question. For clarification was this message part of a report that said no screenshots were detected? Or was this message its own separate notification on the phone? If the message was part of the report then that can be caused by a few different issues.
Firstly - if the Covenant Eyes app is installed and active but not being directly accessed for a reporting period then no screenshots would be on the report. Secondly - if the app is somehow not set up correctly or an error occurred then you may also get an alert on the report saying that no screenshots were taken.
Thanks again for your question and have a great rest of your day.