Another common question in relation to federation, governance and control.
But yes you can protect federated users from taking screenshot of desktop share session content, however this area/capability is more Information Rights Management (IRM) in Office rather than Lync.
With IRM in Office 2013 you can authenication and authorise access to sensitive documents. For example a word document could be protected so it can only be opened by specific users. Also it can be protect from being printed, or shared, also the content can be protected from copy and paste and screenshots.
If a protected document is opened and then the screen or program is shared via Lync then it is just shown as blacked out at the other end. This is due to Lync 2013 honouring the IRM protection.
However this behavior is only support on Windows 8 or later and not Windows 7 nor does it work with Lync 2010 and of course will need to deploy Information Rights Management (IRM).
Presenting your Screen with Lync 2013
Plan Information Rights Management in Office 2013