Actually, you can only steal a Shinra Alpha from the Captain. You can steal two other Shinra Alphas in the Reactor, though, from the Underwater MPs (tan-uniformed guards).
In any case, it's totally possible to steal up to 99 Shinra Alphas from the Soldier: 1sts on the stairway before you fight Hojo in Midgar.
They're the soldiers who taught Cloud how to march during the first visit to Junon, and "Rufus's Welcoming Ceremony" plays when you fight them, and it's all very heartbreaking and god I just can't do it.
Exactly. That's the point of the victory move they mention if you do fight them. Like Kishi, I just take them hostage. You do get potential extra dialogue if you let them live; one basically says that he's glad to be a hostage, while the other notes that he's too incompetent to work the submarine. If I recall correctly, the Captain is at an angle where it's impossible to talk to him.