Note that in the US at least it is only slightly on the wrong side of copyright law if at all, and many people do similar things.
The US has a four-prong test: purpose and character, the nature of the work, substantiality of the portion taken, and the effect on potential market.
In this case
* Purpose and character is commentary and discussion, not to add new expression or aesthetics.
* Nature of the work is that it comes from a widely distributed published work which grants slightly more leeway for fair use
* Amount and substantiality taken is tiny, some screen shots demonstrating UI, not taking the most memorable portions or the 'heart' of the game.
* Effect on potential market is minimal, posting screen shots for commentary and discussion is unlikely to harm the game at this point, unlikely to undermine their market, unlikely to compete, unlikely to have any effect at all.
There are two unofficial prongs as well: Is it "de minimis", so small it doesn't even matter? Many copyright infringement cases are studied by lawyers and never file suit, or if they do file suit they are thrown out, because they are too small to really matter. Second unofficial prong is if the use feels Good or Evil. Note that these are still people making the judgement, if it feel slimy or evil or bad, that is a strike against you, where if it feels moral or educational or right that is either neutral or in your benefit.
While it would be best if you used your own artwork, used your own boxes and line drawings to represent windows and your own drawn images for the discussion, in this case building something with other game's images is highly unlikely to get you into trouble, although it could potentially get you into trouble. It is a matter of your level of risk tolerance. Many people do it without a thought, but then again, most people are terrible at judging risks.