Happens when intercepting the Loc in LNAV. Is only mentioned in the 'FMC Messages' section of the FCOM, so I don't know what the capture criteria are. Had a look on B737.org.uk but found no additional information there.
LOC CAP ACTIVE
CAUSE
The airplane is approaching its turn onto the localizer or GLS course and will maintain an intercept heading.
CORRECTIVE ACTION
Clear the message manually, or wait for the AFDS to signal reset status to the FMC.