You can not say "Ovdje ću čekati dok ne se ona ne vrati" because first "ne" is excess. Construction "dok ne" is used when you want deny finished verb with meaning that some action (situation) last until you use that finished verb. Oh, I wish I could explain this better. Maybe examples will help. Budi tu (sve) dok ne dođem. Be here until I come. This sentence says that you must be here until I come, but when I come you can go away. (Sve) dok ne nađemo dokaze, nećemo stati s istragom. Until we find evidence, we won't stop with investigation. That means that once when we find some evidence, we may stop with further investigation. About your example "dok ga nisu zarobili". Trčali su za njim dok ga nisu zarobili. They were running for him until they caught him. Here you don't have "dok ne" but you have "dok" "nisu". "Nisu" is negative form for third person in plural and the conclusion is the same like in previous sentences. They were running for him but at the moment when they caught him, they stopped run. Just ask if something isn't clear.