Capturing Osama bin Towel would have made no sense whatsoever. Given that an individual is innocent until proven guilty, that had been done many times over, including out of his own mouth. We had already wasted too much money and other resources on him. Why invite a spate of terrorist acts trying to free him?
He died much more easily than he deserved, but then dropping him from 800-1000 feet (like those who jumped from the WTC towers) might be seen to violate Constitutional prohibition against cruel and unusual punishment. I do not believe the Constitution requires executions to be accompanied by formal ceremony.