This issue is not fixed in FM13. Not only PDF.
Set Error Capture [On] doesn't suppress all dialog/alert messages unfortunately. For example when saving as Excel (or PDF in your case) if you attempt to save a file to a folder where a file with the same name is open you will get an error message with Set Error Capture [On]. If you're trapping for errors and displaying your own dialog/alerts yours will then appear as well.
Worth submitting a feature request to get these suppressed.
user19752 and databuzz,
thanks a lot.