The right ico-file for import icons should containts UNCOMPRESSED image!
Be carefully, when you making the ico-file. Usually this option changing in program properties.
But even after that Captivate import just one 256x256 32-bit icon in exe-file, without 48x48x32-bit, 32x32x32-bit, 16x16x32-bit icons.
As a result, using 256-colors picture.
My opinion, that it's program bug. Shame to Adobe developers.
I solve this problem this way:
1. Make a right (uncompressed image) ico-file by IcoFX.
2. Replace icons in result exe-file by icons from ico-file. Using Axialis IconWorkshop.