Are you trying to capture an application that is running on a remote machine (VM)? If yes then can you try capturing the "Screen area" instead.
No, unfortunately, it's not about capturing an application. We always capture the screen area, actually. We can get the screenshots, but not any clickboxes, etc.
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To get clickboxes etc. both Cp5 and the captured application must be running on the same machine. For application running on a remote machine Cp5 does not get the information about UI elements (buttons, menu's etc. ) from the OS hence it just captures the screenshots.
Actually, we've been able to do it, at least with CP4 - just not when the remote machine is running on a VM. If it was on a regular machine, it captureed click boxes, etc., but just centered them around the mouse click - it didn't identify the buttons, etc.
You may need to rely on manual capture entirely, adding in the clicboxes, buttons, and text boxes as needed.