Answer: Because energy is conserved an object can’t be “captured” into orbiting a larger object unless there is a way to transfer energy to some third thing. It has to collide, either mechanically or gravitationally, with something and transfer energy to it: another body, a cloud of gas or dust, or something.
The kinetic energy of a body gravitationally interacting changes all the time, regardless of “capture”, as it get closer to another gravitating body it speeds up because energy is conserved and the loss of gravitational potential is compensated by increase in kinetic energy. The closer a comet comes to the Sun the faster it goes. The further away it gets, the slower it goes.