There are many applications which have a setup.exe calling a number of .msi files internally.
The only supported method to make changes to a vendor's .MSI is by creating a transform. When an .EXE wrapper contains an .MSI, the .MSI file or files should be extracted to the %TEMP% directory ( Start > Run > Enter %TEMP%). Create a transform for the MSI.
If a SetupCapture is performed on an .MSI, it will capture advertising information which can cause issues when installing the .MSI. This is because the SetupCapture process will capture advertising information from the initial .MSI (the one being captured) as well as put down new advertising information that pertains to the newly created .MSI.
Symantec does not support the SetupCapture of an .MSI, whether it is called from a setup.exe or by itself. The recommended way to repackage these types of installations is to create a transform for these files.