I play Pelagrir Shipwright in a mono spirit deck. If 1 of the heroes is captured (escape from Dol Guldur scenario), does it still counts as being "under my control" or not? It adds 1 willpower for each hero you control...

I would say yes (pelargir ally gets 3 willpower). There are no text that say nothing about captured hero is out of your control.

I'd vote "no" as the hero is a prisoner and not really "under your control".

I agree with this post here:

http://boardgamegeek.com/article/14121254#14121254