I was able to find the captures using XCODE top menubar: Windows/Devices/iPhone then select the Capture Appin the list. Then the gear icon next to the + - then "Download Container" that moved the whole Capture App to my MacBook. Then in the download folder on my MacBook control click the capture app icon to show package contents. That should bring up a finder window with a folder of your captures. AppData/Documents/Captures/ then folders with the date time. Hope that helps!

Yes, I have the iPad Pro 12.9 inch 4th gen from November running iPadOS 15.0 Beta and am experiencing the same issue. No depth captured or then used in the HelloPhotogrametry App. The Sample Capture App does not report depth data. I see the yellow warning icon on the photos, and depth is disabled (red) in the info. Lidar scanning was the whole point of buying this iPad. So also frustrated and curious about how much better (if at all) the scans will be with Lidar.