Capturing it is difficult. It's coming out the end of a turbine or smelter at very high temperatures. You need to cool it and compress it down.
Then you need to secure a source of hydrogen. Over 90% of industrial hydrogen comes from steam reforming which emits CO2. So you'd need to build out massive electrolysis plants, and power these plants with carbon-free energy.
Finally you'd need to run the Sabatier process, which also needs energy.
It's much, much easier to drive down emissions by just reducing the CO2 released in the first place.
Thank you, whenever these articles come out, people forget CO2 IS the lower energy state and while these catalysts can help, you still need energy to supply the H2...which requires you to burn coal/gas which makes CO2. It's not like there's a "CO2 always increases with every reaction" law like the 2nd law of thermo, but it isn't easy otherwise we'd all be doing that as it would be a hell lot easier to do that than the other things we need to do to combat climate change.
Burning organic anything makes water and CO2, amongst the most stable (read lower energy) chemicals in the world. If you want to break one of those up, you need to increase entropy some other way, and unless we're talking solar, wind, or nuclear energy, you're going to have to make more water and CO2 (burn more coal) to do it.
While that's a pretty expensive way of carbon capture, it does seem to work.
The question is of course how much energy it costs. It's probably quite a lot. Meaning that turning CO2 into methane is probably not a very efficient process. I.e. not a great use of clean energy.
What about pulling it right where it's mostly produced (heavy polluting factories or electricity generators).