Start with everything at defaults with a stock portable install, don't even load any config.
Click start so the emulation window appears.
F12, then tick the "Automatically capture mouse when window is activated" option in Miscellaneous, then press OK
Note Alt-Tabbing to the window does not capture the mouse pointer.
F12, then save the current config as "test".
Restart WinUAE, load the "test" config. Double-check the option is enabled in the UI. Click Start.
Note Alt-Tabbing now does capture the mouse pointer.
TL;DR this option only works if it's set in an existing config that you then load. It appears you cannot set it at runtime, which is very misleading. It took me about an hour of experimentation the other day to figure out why it works only sometimes (it only worked with one of my configs which had this option set).
Problem 2
Restart WinUAE, load the "test" config that has the option set.
Alt-Tab to another window to uncapture the mouse pointer.
Now left click on the title bar of the emulation window as an attempt to move it while the mouse is still uncaptured. Keep pressing the button, but don't move the mouse.
Result: the emulation window will rapidly move downwards on the screen on its own. If you keep pressing the button long enough, it will completely disappear and you can't get it back.
Problem 1
TL;DR this option only works if it's set in an existing config that you then load. It appears you cannot set it at runtime, which is very misleading. It took me about an hour of experimentation the other day to figure out why it works only sometimes (it only worked with one of my configs which had this option set).
Problem 2