Starting out captured is totally different from actually losing a fight and getting captured. That being said I have been captured and found it quite amusing since it was brief and effortlessly undone. As I recall, my character, Riptide before going ashore on Doctor Destroyer's island swam around and found the underwater coolant exhaust pipe for the island's power source and messed it up. Then the team went ashore and were defeated by Menton. We woke up in some kind of prison with a power suppressor and Riptide got to rant like an idiot at Destroyer and Menton.
"So you've got a master plan do you! You guys always have a master plan! Well I've got a master plan too, and getting captured was all part of it! What do you think of that? Ha-ha! Ha-ha!" Destroyer snorts in contempt and leaves, and the power conveniently fails right after that, letting the strong man rip open the door so I can zip out and do a move-through on Menton before he even knows I'm coming. I run back and tell the other members of the team "OK, now for step four of my master plan."
So I was having a great time. I don't think the others minded too much since our immurement was brief.