Does the sky look good on your monitor, and it’s only screenshots that are washed out? Or does the monitor look washed out? If the latter, is it (sorry…) an HDR-capable monitor, and is HDR turned enabled in your Windows graphics settings? You didn’t mention that in your original post.
HDR screenshots are problematic. And unfortunately there’s no ‘Easy Button’ way to capture the .jxr (HDR) files and convert them to .png (SDR.) If you capture .png (or any other SDR format) from an HDR signal the colors will be washed out and overexposed.
I use this method that @Vibstronium kindly provided. It works well, but requires a little work on your part, since the two files must be located in the same folder where your screenshots are captured.