This is because the rendering order is switched when your exhaust goes “underneath” the trail. This only happens in the preview, not the actual mission.
Because your frame rate stutters when the screenshot is taken (in the most dense option, trails will spawn one each frame, so if your FPS varies it will cause these types of artifacts)
Making customizations visible in the galaxy is problematic (both from a technical and a UX standpoint). Can you imagine 50-100 spacecraft with trails on?