I’ve been having this same exact problem for years and finally came to the forums to find a solution. Alas, I find it’s still an issue.
My assumption is it has something to do with the Mac Display’s color preset but changing any of those settings messes with my display. My hypothesis is that because the display isn’t set to sRGB, it’s messing with the screenshot’s color space.
The really annoying workaround I’ve found is to bring the screenshot into Photoshop (PNG should be the default file type). Once there, nudge the screenshot up 1px and then back down 1px so that Photoshop realizes you made a change to the file. And then save it.
The correct color information is now embedded into the file and you can bring into Figma with all the correct colors.
Really hoping for a fix because it’s been super annoying.