I don't think Set Error Capture has anything to do with this issue. It suppresses the error dialog that would otherwise pop up, but the error code returned does not change.
There has been, I think, a behavior change in the server admin console in how this gets reproted after the schedule has been run.
The fact is that 'Set Error Capture [On/Off]'... in FileMaker Server 11 controls Whether the 'Status' column in FMS admin > Schedules pane is marked as 'OK' or As 'FileMaker script error'
If You in FMS11 Execute a ‘Perform Find’ with no match - and 'Set Error Capture [On]' the 'Status' Column is marked 'OK' (the log however indicates that Error 401 have occurred).
If You in FMS11 Execute a ‘Perform Find’ with no match - and 'Set Error Capture [Off]' the 'Status' Column is marked 'FileMaker script error' (the log of course also indicates that Error 401 has occurred).
The problem here is that, in FMS12, the 'Status' column in both scenarios is marked as 'FileMaker script error'. This is a problem because it indicates that there is a problem in your script you have to deal with. In this case this it not so. It’s quite normal that the Perform find will result in 0 found records.
I agree that it's a problem and a bug. Seems like this was also reported for server 11 (I still use 10), but maybe a bug fix update corrected the issue in server 11.