In the documentation here, it says:
The capture-output element can be used to propagate values back into Oozie context, which can then be accessed via EL-functions. This needs to be written out as a java properties format file. The filename is obtained via a System property specified by the constant JavaMainMapper.OOZIE_JAVA_MAIN_CAPTURE_OUTPUT_FILE
That property is incorrect; it should be oozie.action.output.properties, which is what the Java action cookbook has.