We see all sorts of issues with capturing system audio with not only Captivate but many other applications as well.
One way to capture system audio is by downloading and installing a freeware product called the "Ask & Record Toolbar".
Helpful and Handy Links
You can record the audio being played in the interactive swf. To do this your system should support 'system audio'
If its available, then while capturing the interactive swf, enable narration recording and select 'system audio' as the recording device. This should record the audio being played in the interactive swf.