I agree that you can't simply capture a bomb then detonate it; there are many ways to prevent that from happening.

I assume the threat model people are worried about is the plot of Tom Clancy's 'The Sum of All Fears' [1] wherein a damaged nuclear bomb is captured by terrorists who can't enrich uranium themselves, but can replace the firing mechanisms once they have the fissile material.

And of course, a group that might be able to replace the firing mechanism would be able to engage in nuclear blackmail even if their replacement didn't work so long as nobody called their bluff.

[1] https://en.wikipedia.org/wiki/The_Sum_of_All_Fears_(novel)