When i think of it.. it's not that big of a deal, since very few people use screensavers, and they don't really have a purpose anymore. I don't think create>new>screensaver should be added, since it's such a small part of construct.
The steps to turn a normal .exe into a screensaver .exe are trivial; stuff like specifying a different window class and closing on user input. It'd be good to expand the range of things Construct can make. Maybe presentations and websites next?