You do not have to capture the magic urn because it can't be killed. The only thing you can do with the urn is get some free items, but unless you are quite strong it will hurt you alot and the items aren't that great. If you equip a sensor item when you are fighting it, you will see that it has something along the lines of 9,999,999 HP (maybe more but you get the idea); Also, when you hit it the damage you do is not subtracted from its HP so even if you could do enough damage you still couldn't kill it. I would guess that most people would agree that fighting magic urns is nothing but a big waste of time.
