When that happened to me recently, the issue was that the file system I was saving to (a fast usb stick) was mounted read-only for some reason (and the previews were being stored in a different place, a temp directory on my main SSD which was correctly mounted read-write). To check if this is the case for you, test to see if you can create a file in the same directory that capture is saving its images. The fix for me was to reboot, and the stick drive was mounted read-write the next time.

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