If they are priests or adventurers, yes. If they are infiltrators they have a chance to get caught everythime they do something dodgy. If your police unit does police work - patrol the streets you increase the chance for this to happen.
All characters without an unit in enemy lands has a chance of being captured every turn. I think the exception is ambassadors that are supposed to have Diplomatic Immunity, but it was talk about changing this as they were used as spies without the possibility for the defending realm to do anything. I'm not sure if it was really done though.
I'm also not sure whether priests have any chance of being autocaptured.
