In the Jean Grey Phoenix clarification thread on Wizkids site it has been stated:

1. She cannot capture
2. She is immune to Exploit Weakness.


So to sum things up a bit:
1. JG Phoenix and Galactus Big Figures cannot capture.
2. Dark Phoenix, Sinestro and Sentinel Big Figures can capture.


Also JG Phoenix has RS and TK, not HSS and Poison.