When SetCapture is active, the docs should also mention that all Non-Client area interactions (title bar drag, minimize or close buttons, etc) will not be processed by Windows. In fact, no WM_NCHITTEST messages are generated at all while SetCapture is active.
I would recommend the use of SetCapture for full-screen DirectX applications to prevent 'click throughs' to things like taskbar notifications, but for Windowed apps it should not be the standard operating mode.