How does this card work?

"Captives are in play but are not under any player's control." What does this mean? Do they still collect resources? If so, can you use them?

"If there are no captives in play, the players lose the game" How would a captive leave play?

In the manual it states that players add resources to "each of his heroes' resource pools." It doesn't explicitly say "each of the heroes he controls," but that is how I would understand the word "his" in that context. Since you don't control the captive, you wouldn't add resources to that hero's pool during the resource phase.

However, in easy mode you add a resource to each of your heroes' pools during step 2 of setup. That happens before you follow scenario instructions, so at that point the To Isengard! card is not in play and the hero is still under your control. So it could end up with a resource token on it.

You couldn't spend that token because you have to use your own resources to pay for cards or effects. However, you should be able to manipulate that resource with certain card effects, like Parting Gifts, which doesn't specify that the resource being moved must belong to a hero under your or any other player's control: Action: Move any number of resource tokens from a leadership hero's resource pool to any other hero's resource pool.

Finally, a captive can leave play if it is killed. There is one or maybe more cards in the scenario that places damages on a captive.

Incidentally, I believe you can heal a captive card with a card that does not specify that the character being healed be under a player's control. So Warden of Healing should work.

To add to GrandSpleen response:

The only card i see that can get a captive killed is Grishnakh by his 2nd forced effect.

Although there is only one of this card in the whole encounter deck.