If you really want to capture the enemy general, take an extra unit of light cavalry that has a higher speed than heavy cavalry (mounted x-bows, steppe cavalry, saharan cav, mamluk horse archers, horse archers, tursopoles, turcoman horse etc.) and bring it near the fighting, but do not engage. Once the enemy general bolts, send the fresh light cav on his tail. Often they will catch him, as he s tired and they have a higher speed. I know this requires a lot of micro-management, but it's the best way to capture an enemy general.