This applies for all games except Daggerfall, where clicking does NOT capture the mouse. Though I figured it out - I can click to skip the "Bethesda Softworks" screen and can even click the menu. However, there apparently is basically a second cursor, the "in-game" cursor (the one you actually see with the blue arrow). I cannot play the game with my mouse cursor not captured, in essence, I have to capture it in order to take control of the Daggerfall cursor.
Clicking does not do that - I have to do Ctrl+F10, which isn't a big deal, but whenever I have to alt-tab or anything it's quite obnoxious.
P.S. Yes, I have "autolock" set to 1 in my config.