WRT the question:
Why is there a problem at all when these two software products are Adobe Products? Aren't they made to work together?
To my knowledge there has been no specific effort to make Captivate "work with" Photoshop other than to hand editing capabilities off to it as well as ability to import PhotoShop files into Captivate. Recording PhotoShop is an entirely different animal.
Keep in mind that Adobe aquired Captivate from macromedia. While Adobe certainly now maintains the code base, it was never an Adobe product from the onset. It has changed hands a few times.
Sorry, but I have no clue what to advise on the freezing issue. Sounds like a PhotoShop issue to me.
It's not a photoshop issue, I'm here because I'm having the same problems (in 2018) using captivate with Adobe Illustrator. Trying to make a demo video, press alt to symmetrically scale an artboard in Illustrator, and the whole thing freezes for about 10 seconds. I tested this with and without captivate recording a video demo, it only happens when captivate is recording.
Unless you need some particular functionality in Captivate, why not use some other screen-capture software that won't interfere? Something like screencast-o-matic (terrible name, but it's free and it works!). Sorry to the Captivate crowd for making such a suggestion, but it could save a headache or two.