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Winds:Holder may exchange an angel in battle with an angel in holder's hand, territory, or Chamber of Angels.It doesn't say hero, so you could wind up with a captured hero in battle? If he gets captured again, is he a captured captured hero?
I don't know if the exchange is possible at all....
If a captured hero is not in a Land of Bondage, is it truly 'captured'? Assuming it's a legal play, it seems like moving a character out of an LoB removes their captured status (ie, Ezra).
The demons lose their captured status because there are cards that specifically release them from Tartaros.
The alternative possibility is that any time a captured character leaves the Land of Bondage - or a Fortress that holds captured characters - then it just becomes a regular character again.