“mouse capture” such as you describe isn’t a good idea, interface-wise. An application shouldn’t try to prevent the mouse from leaving the boundaries of the window; that will just frustrate the user. In fact, Mac OSX expressly disallows this kind of behavior by applications, for just this reason.
There is another sense in which the phrase “mouse capture” is used; it means that the window retains focus even though the mouse has wandered beyond the window borders. Applications typically enable “mouse capture” in this sense whenever the user clicks down on the mouse within the application window, and for as long as the user continues to hold the mouse button. Panda also behaves in this way automatically.
David