It's difficult to tell from the screenshot, but I suspect it's because your brush in Capture isn't saved as a "Sketch" brush. Let me explain... When you create a brush in Capture, you have to select what tool you are going to target. If your ultimate goal is to use the brushes in Sketch, then you'll need to limit yourself to the Sketch-targeted brushes when you get to the Style section. When you save a brush, you're taken to a screen where it can be edited/named). It's also where you can see which brush work with each application.
Double check your brush: Go into Capture CC and choose the brush
Tap the edit icon (square with a pen); that will open a visual list of brushes
To use the brush in Sketch, make sure you've chosen a "Sketch" brush (tap the circle to check it) and Save. It will save to your library as a Sketch brush and as soon as it syncs you should be able to open it there.
About a fill tool: there's not yet one in Sketch. But the team is working on creating one.
Let me know if that's what's going on with your Capture brush.
Sorry. I should have noticed this before... You're in the wrong menu. You're in the menu for color themes. Not brushes. To get to the Brushes menu, press-and-hold on any brush in the tool set (double-tapping brings up the Color menu).
Here's where you should be:
Let me know if it's still not showing.