Hi There,
It seems that you have not updated your Captivate . Please Go to Help > Updates and update your Captivate and try to reproduce the issue .
Yes .wmv is not a supported format in Adobe Captivate . You can only insert .flv , .f4v , .avi , .mp4 , .mov , .3gp formats in captivate .
Please convert the video in any of the above supported formats and then insert.
Thaks and Regards
Himanshu Satija