There is a forum especially for Dante subjects. If you haven't found it yet, have a look here: https://forums.presonus.com/viewforum.php?f=201. I would recommend to ask your question in this forum again, because there are specialists around (who don't write in the "answers" department).
I am using AVB, but I have been reading about Dante and following the discussion. It seems that two things are often forgotten: 1) Dante (and AVB) is limited to 48 kHz sample rate. If you try to record with 88.2 or 96 kHz, it does not work. You set the sample rate in your mixer's menu. 2) Capture is a FireWire based program. It can not be used as network device, which means that Capture does not record over Dante (also not AVB).
From what you write I guess you are missing a network switch and IP addresses for your devices. I don't think a direct connection works (at least not without IP addresses set before). The specialists in the Dante forum know better and will help you...!