Never heard of that. Capture is just a digital transfer, nothing gets changed. Are your playback settings correct? On what hardware and OS? What version of CS4? In short, look here: Some suggestions and answer the 16 questions asked in the first included link.
My guess is that you have Playback Quality set to Automatic. Chaning that to Highest should resolve the issue.
Having said that, I will add that you should never use the internal Premiere monitors to judge quality. They're for monitoring content only. Always use a properly calibrated external TV for quality monitoring.