Yes, it’s tedious, but it’s the only workaround at the moment. It shouldn’t take more than a second per screenshot–it is only a matter of a quick memorized keyboard shortcut, depending on your operating system.
I’m on a Mac, and every screenshot I take auto-saves to the Desktop with a time stamp. I leave the volume on so that I can confirm the screenshot when I hear the “shutter” sound.
For the sake of practicality, I would probably try the questions on the computer first, but take screenshots of them in case I need to review them later, in which case I could print them out individually.
I would guess that the Khan Academy online-only material is part of the College Board’s effort to eventually transition the SAT to a computer-based test.