Scenarios can't be used as examples. In that scenario, capturing a great work gives you points and immediately destroys it.
Also, the xml ( aka the game files) disagrees with you. You are remembering incorrectly.
-<Replace><Type>BUILDING_AMPHITHEATER</Type><BuildingClass>BUILDINGCLASS_AMPHITHEATER</BuildingClass><FreeStartEra>ERA_INDUSTRIAL</FreeStartEra><Cost>100</Cost><GoldMaintenance>1</GoldMaintenance><PrereqTech>TECH_DRAMA</PrereqTech><Description>TXT_KEY_BUILDING_AMPHITHEATER</Description><Civilopedia>TXT_KEY_CIV5_BUILDINGS_AMPHITHEATER_TEXT</Civilopedia><Strategy>TXT_KEY_BUILDING_AMPHITHEATER_STRATEGY</Strategy><ArtDefineTag>COLESSEUM</ArtDefineTag><GreatWorkSlotType>GREAT_WORK_SLOT_LITERATURE</GreatWorkSlotType><GreatWorkCount>1</GreatWorkCount><ConquestProb>100</ConquestProb><MinAreaSize>-1</MinAreaSize><HurryCostModifier>25</HurryCostModifier><IconAtlas>EXPANSION_BW_ATLAS_1</IconAtlas><PortraitIndex>0</PortraitIndex>
Regardless of the code, Culture and Great Work buildings CAN be destroyed upon capture.
I'm back to playing a normal (non-scenario) game that I haven't played in a few weeks ago. In the game, I recently took 3 Aztec cities and puppeted them. All 3 have Opera Houses, but no Amphitheaters, which were destroyed (along with Monuments) when I conquered them. Also, I sent a spy to look at Honolulu which was captured and puppeted by Portugal, and it also has an Opera House but no Amphitheater.