I was trying to take a screenshot today on my Note 4 and I saw this message:

Unable to capture screenshot. Prevented by security policy.

I've never seen this message before on any phone. 

A quick Google search shows that some people have had this problem on the Galaxy Note 5, but the solution in this linked XDA thread doesn't seem to apply to the Note 4.

A Stackoverflow thread also mentioned the same solution as the above mentioned XDA thread - disable FaceProvider in settings->applications->all. But I don't have FaceProvider.

I rebooted my phone and took a screenshot of the home screen. No problems.

I then realized that this error might have been occurring because I was trying to take a screen shot of my online banking app. Maybe there's a security restriction that doesn't allow screenshots? 

I didn't even bother at this point. I can take screenshots in any other app, it's just the Chase bank app that won't allow screenshots.

Update: Another XDA thread mentions that it is likely the bank app that I'm using which is preventing me from taking a screenshot.

There's apparently some kind of flag that is set in an app to let Android know that the content on the screen is protected. The above mentioned thread says there's an XPosed module that takes care of this to allow you to take screenshots of protected content, but I'm looking for an easier solution.

I ended up giving up on trying to do this. I'd use XPosed and the recommended module, but if I recall correctly, XPosed doesn't work well with TouchWiz on the Galaxy Note.

As a workaround, I'm not going to take a screenshot of the banking app. Instead, I'm going to visit my bank's mobile web site in a browser and just take a screenshot of the browser window.