Just want to make sure, if i use solo adventure, remove Danger, then Danger use capture and capture someone, next turn i use team reunited with danger, the captives are free or what happens to them?

I think your logic is sound.

Does "may not use" capture constitute countering or losing capture resulting in the release of the captives? I would expect it to, but Heroclix gets creative in its use of English.

Curious on the ruling of this. What happens if a character loses capture, do the captives get freed in the last adjacent legal square of that fig?

I believe they are released adjacent to the capturing figure with one token.