OK, here's the thing:
The Services menu only (natively) works in Cocoa applications, so anything that was ported from OS 9 or Windows is unlikely to use it.
Secondly, the "Grab" service is stupid. To use it, you have to be in a program which can accept the resulting image (not Finder, Safari, etc.) - like Photoshop, for instance (or probably iPhoto). Mail can too (if you open a new Mail message), as can TextEdit.
For most screenshots, either use the Grab utility in /Applications/Utilities or the handy-dandy keyboard shortcuts:
Cmd+Shift+3 - Takes the whole screen and saves it as a PDF (if you have multiple monitors, each is a different page of the document) on the desktop.
Cmd+Shift+4 - Cursor changes to a cross-hair so you can drag a selection, then saves the result as a PDF on the desktop.
With either, if you hold control, the image will be saved to the clipboard (like how Windows does it). It's also a good idea to get QuickImageCM - a Contextual Menu item that allows you to do a one-step conversion from the PDF to a normal image format (JPEG for instance).