When you capture streaming audio, you get better quality (unless you use lossless compression that gives much larger files). Recording depends on the quality of your sound card, on the formats that are used for streaming audio and your recorded files, on the recording settings. Besides everything mentioned above it depends on you whether you can notice the difference between recording and capturing.

It is always better to test trial versions to make a better choice. You did it and most probably you already know what is better for you.

As for DRM-protected WMA files, I don't think that Replay Media Catcher can capture them. You might wanna try other audio converters or CD burners. And just right click on such a WMA file and see whether the appeared window has the DRM tab or not.