I will pass your comment to Development. It maybe possible in the future to have an "include rulers" option when saving, but I will check.
You can create a PDF version with rulers, by doing exactly as you did but choosing PDF from the dropdown list (and current waveform only). While it won't give you a JPG, it will be what you are after.
In the meantime....I have just tried this on a Windows 7 machine and it worked OK.
Setup the test as you require (with rulers etc).
Choose "Edit>Copy Entire Window as Image"
Open the Paint program that is installed with Windows
Choose Paste from the top Ribbon menu (see below)
Click the Crop (this is greyed out in the screenshot below but will be clickable once you have pasted in the PicoScope image)
Then SAVE AS and choose JPG...I noticed Paint defaulted to PNG, so be sure to check the format is what you want.
Of course if you have a preferred picture program [perhaps photoshop] the process is different but I have tried to show a general process.
Here is my result following the process exactly as above:
Hope this helps.
(Automotive) Technical Author - Pico Technology
"I right complicate stuff in a easy too under stand weigh four those who need two no it"