It would be very unusual to say "a capturing live show" in English, but there are some similar phrases that I can explain for you.
The phrase "a captivating live show" means that the show is appealing. "Captivating" can be used as a synonym of "appealing" in the sense that it captures and retains the attention of the audience. However, "capturing" would rarely if ever be used in this way.
I read the whole paragraph again and found that I made a mistake in segmentation.The original sentence is "the new way of capturing live shows". Sorry, "no context, no meaning", I forgot the rule. Thank you so much!