so, as i lock range , vco output frequency tracks the input frequency that means there is some change in input frequency which is getting tracked. The frequency up to which this tracking is possible is lock range. But , notice, there is tracking going on , i.e something is changing which is getting tracked. So this change in something should not be too large for the PLL to track the change. i.e. the change should be limited and this limit in the value of change (which can be tracked) is called capture range.
Clearly , the change will be incremental and can't be larger than the range of frequency of your designed PLL.
hope this makes more sense.
thanks