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Wireshark wiki: Loopback capture setup
If you are trying to capture traffic from a machine to itself, that traffic will not be sent over a real network interface, even if it's being sent to an address on one of the machine's network adapters.
Once the traffic gets down to layer 3 (OSI layers) there is no need to pass it to layer 2 or below.
The network stack uses the loopback to pass it back up the stack to the receiver.
You can test by pinging your machine IP address from a command window.
Try to capture icmp on the machine interface with the IP address then try on the loopback interface.
