Instagram only notifies its users of notifications under some circumstances. This circumstance being a screenshot taken of the disappearing photos sent on direct message feature of Instagram. So no Instagram screenshot notifications are received if any other user takes a screenshot of their content. Initially, just like Snapchat, the feature did exist prior to 2018 but Instagram decided to remove it permanently. Now there is no scope of the feature to come back. Snapchat is currently the only application to do so.