In XCode 11.3 you can take simulator screenshot by using default Mac shortcut for taking window screenshots.
If you want screenshot to include device bezels just make sure to activate them as shown below.
Screenshot is taken with a caption at the bottom which can be removed using following workarounds
● Move Simulator Window to the bottom of the screen so that label is not visible
● click somewhere on the desktop so that Simulator is still visible but not active (but bezel will be grayed out)
(From XCode 11.4 Simulator Caption was moved to the top so taking screenshots without is not possible anymore.)
(Open Simulator Window)
Window
Sow Device Bezels
Shift + Command + 4
Space
Option + Click on Window (Option is used to take screenshot without shadow)
Screenshot with caption Screenshot with gray bezel Screenshot with black bezel