It is actually the way C2C was intended to be played as it slows down your exploration. You need to move the subdued animals back to your territory and then to the city you want to use them in.
The AI understands and works OK with this.
It is actually optional and can be changed in your A_New_Dawn_GlobalDefines.XML file found in the Assets/XML folder. The actual items that need changing can be found in the concepts page of the pedia.
The fact that it has changed means that I probably copied my test version of that file into the SVN by mistake. It will need to be backed out. Sorry about that. It has many changes that should not be there including that I turned off Neanderthals.
After playing with this capture mechanism on I think it should be changed to require you to escort the animals back to a city up until you get Sedentary Lifestyle or other suitable tech. After that the subdued animals should teleport. I find it becomes a bit too much micro management of units.