In order to generate a document with the "Generate Document" action, you have to make a template first. You can to this by goint to the module you want and then: Add>Resources> Document template. In that document template, you basically build a "page" which mendix uses to place the data. It is not a screenshot of the page you have now.
Another solution could be the Print Screen to PDF: https://appstore.home.mendix.com/link/app/27069/. There you can select which page-container you want to print. Which could be more suitable in your case.