What is the different between TCP Previous segment not captured and TCP Previous segment lost message?

There is no difference - it's the same diagnostic message, but the wording was changed to be more exact. When a TCP segment isn't seen in the capture file there are a couple of reasons why:

1. it was never on the "wire", because the capture device was placed at a location where the packet did not pass through (e.g. when routing is using different paths for both directions)
2. it was lost before it arrived at the capture device (and the destination), which means true packet loss
3. the capture device was too slow to record all packets (capture device performance problem)

The old message "segment lost" suggested only the second reason. The new message simply says "the segment is not in the capture, for whatever reason". So it covers all three reasons instead of just one.

Regarding "critical error": it depends. When it is not in the capture file because of reason 2, and it happens a lot (costing time), it may get critical. Otherwise it may not, because packet loss simply happens in almost any network - but it doesn't need to be critical if a retransmission is fast enough not to slow things down.