I'm just shooting from the hip here vvand111, so keep that in mind. It seems to me you need to see what is happening in both parent hives and both captured swarms. I'm not sure of the timelines as far as the swarms are concerned so I'll start with the parent hives. Carefully inspect for eggs or swarm cells. Once you find either in BOTH parent hives carefully close them back up. If you locate eggs you can commence your "normal" inspections/manipulations. If you find queen cells leave them alone long enough for queen to emerge, mate and start laying. I'd give her an extra week but that's just me. As for the captured swarms, again shooting from the hip, I'd wait a week before you inspect. You will be looking for eggs or very young larva. With no drawn wax you will probably (not sure of your seasons) need to feed until they have some drawn frames to work with. If you don't find eggs I would button them up and check again a week later.
The scenario you laid out is possible. Maybe you got the queen on the first capture the remaining bees went home. Maybe the queen hadn't made it to the swarm yet. No matter the scenario, my thought is to find out whats happening now. Best of luck, Ted