They were not captured. They entered through the portal and got their 3 wishes. They ended up captives because they could not leave through the destroyed portal. Perhaps one of Lanfears wishes was to have someone come get her ... It's clear that someone came for a captive that was NOT Moiraine. Given Lanfears current circumstances it seems pretty clear that some level of her Power was drained, she was released/rescued whatever, killed then resurrected as Cyndane and then mind trapped.

Moridin likely pieced together what had happened to her, or was told by the Dark One, and went to collect her for punishment. No need for some overly complex explanation ... She's somewhat weaker than she was, we have a viable and direct reason for both her weakened state and her release from the 'Finns.

The question is how did Moridin manage to get to the 'Finns without having to fight and why would they release Lanfear to him ... He must have had something of great value to them for trade... Wonder what that was.