As amazing as it could appear you cannot capture the mouse pointer when you are using the print screen button.
With this solution you will do the trick but you need an external program.
There are hundreds of utilities for it but if you are looking for a free and useful you can give a try to this one.
1. Download Free Screen Capturer by Extensoft.
2. You need to register, just go to the following web and it will send you a free license number to your email.
3. Once it is installed it captures the Print Screen key. If you want to use as before just press the shift key + print screen.
Now if you press Print Screen the following window will appear.
It allow you to choose if you prefer to make screenshots or animations and other options.
4. Click Options, and go to General Tab.
5. Click in the following:
Now you can capture your mouse pointer as you see in the following picture: