If you're building a hotspot interaction, you'll want to keep your screenshot image close by. So, I wouldn't recommend placing it on the Master, or anywhere else it might be - don't think of it is as a lesson background, but instead just another object on the page. Here's how I would set it up - https://www.screencast.com/t/P7TXDBRxU5
If you have a particular reason to place the image somewhere else, let us know what your goal is, and we can recommend a solution.
Without seeing your current situation, I would guess that you've applied the image to a new Master, but haven't applied that Master to any pages.