Except they took Captain Keyes prisoner in Halo 1. Took Miranda and Johnson prisoner in Halo 2, took an entire Marine squad in Halo 2. Took Allers prisoner in Wars. Took Johnson AGAIN in 3 while still on earth, plus his squad of marines. Used human shields in Reach (not technically prisoners, but still.) Took Glassman in SpOps, as well as Thorne.
Yeah, they never take prisoners.
And that was the first time they took a prisoner, duh. That's why it was so strange when they found that Keyes was taken, because the Covenant NEVER took prisoners.
Your God is as real as the Tooth Fairy. Deal with it.