Two issues:
* After the first time, subsequent heroes you capture don't always show up on your prisoners list. I've captured 3 heroes at the same time (all persuadable), and the only way I knew they were there was visiting the prison screen three separate times and persuading each one. Good thing for "default" highlighted heroes. (This is a Patch C-only problem.)
* Horses don't seem to spawn on random maps, and neither do Purebred Horses. Elephants do, though. Fall From Heaven seems to experience the same problem, except with Mithril and Reagents.