Currently, we have plans of a simpler way to export all the screenshots as a .zip , organized by the site's directory structure.
But until then.... here's the way to do this process:
Got to sitemap > click Export CSV
Installing this free Chrome Addon: https://chrome.google.com/webstore/detail/tab-save/lkngoeaeclaebmpkgapchgjdbaekacki
This will allow you to batch download all the screenshots via their urls..
Click on the new Chrome add-on > Paste all the screenshot links ( from the CSV ) into this window: