This sometimes happens to me, also. What I have done is pause
when the pulldown menu comes down, then pause while highlighting
the item in the menu before actually clicking it. This usually
gives Captivate a chance to "catch up" and record everything. It
often results in superfluous screenshots (of the "pauses"), but you
can just delete those slides and everything should be seamless.
I hope this helps.
-Maureen