I think the key is to make sure they are effectively surrendered, not merely panicked or in still fighting.
I found the trick is to "Continue battle" even if they are all flashing white and you have a victory. Once you get the victory and the ships are efecctively under your control, the battle ends (without possibility of continuation).
Hope this is clear enough.
I managed to capture the whole pirate fleet you find near Curaçau when you start a United Provinces campaign. Thats roughly 1500 coins, or, in case you want it, the Flying Dutchman (a brig, IIRC).
If you have doubts, i recomend saving the United Provinces 1st turn, as you have always that pirate fleet there to try out naval battles until you understand better whats happening. Thats what i did.
And yes, chain shot is your friend.
Bookmarks