Using Unity 2019.3.0f5, I load up my scene, press Capture Player, and it creates a Snapshot. I then do things in that scene, and press Capture Player again (to track down a memory leak), and it does nothing at all. The button highlights as a button should when pressed, but nothing appears to happen.
Note, this is when connected to a Player running on a different computer over the network (and the Player is a Linux computer, the editor with the profiler is a Windows computer, with Linux as target platform).
Edit:
I closed the Memory Profiler window, re-opened it, and that allowed me to CapturePlayer again