The first is that most people do not realize how long and difficult the modern training pipeline is for SOF. Operators are extremely valuable and hard to come by and you do not want to risk them unnecessarily when you have other legal means of accomplishing the mission. For example, it takes 12 months to even qualify as a Navy SEAL, and then another 12-18 months of platoon training before a deployment. Only a tiny fraction of those who start the SEAL pipeline actually make it through due to the difficulty of the training. It is for this reason that the Navy offers $40,000 to anyone who can make it through the training (http://navyseals.com/files/ChallengeSEAL.pdf) and reenlistment bonuses for operators can approach $100,000. And never-mind the cost of the equipment used during the operation. How much do you think the stealth helicopter that got destroyed during the Osama Bin Laden raid cost?
The second is that there is some serious armchair quarterbacking going on. I think its crazy to assert what our armed forces should and shouldn't do without a full understanding of what you are asking of them. The complexities of planning a SOF operation that goes deep into a place like Yemen are quite involved. For more on this, I suggest the book The Black Banners by Ali Soufan. It possible (and even likely) that a capture operation for Anwar al-Awlaki was either impossible, or possible but likely to end in the death of al-Awlaki anyway.