There was a very similar story released after I, Kaleid Sheik Muhammed, was caught, claiming I had been in custody for a while before the story broke.
The only thing that might make sense about that story to me is the chance that before alerting the public (and thus Al Qaeda agents) about the capture they would first pummel me for intelligence on current plots and agents. If I recall, the U.S. was upset when the story broke so quickly for this very reason, so I don't know how likely the assertion would be (unless that's what they WANT me to think).
Aside for political reasons, that could be a reason they might also catch Osama but keep it under wraps. It would be smart to do politically, but hard to keep under wraps if it was anyone but a covert ops group who caught him. Still, given the remoteness of Osama last presumed location it would be more possible than catching Saddam and keeping it secret (in such a populated country with so many U.S. troops in the vicinity, surely someone would talk).
I guess with our technological capabilities and such motvation for catching Osama, it's hard for me to believe that we weren't able to take him in. That part of the earth is supposed to have some pretty hefty winter weather, so maybe that's it.. It'd be a great ace to have up your sleeve with an election coming up, but it could also be that he really is whereabouts unknown. If the election comes and passes with no late-breaking Osama news I'd really doubt he was secretly caught.
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Vote Jeb Bush 2008