1) F11 takes a snapshot of the sequence, not the clip preview.
2) You can right click the clip preview and select Take Snapshot of Clip. This should take a snapshot of the clip preview.
3) You can use File menu -> Clip -> New Freeze Frame Image from Preview or File menu -> Sequence -> New Freeze Frame Image from Preview.
In some versions of the user interface, these choices - CLIP and SEQUENCE - are shown on a separate menu bar, not under FILE.