In the PLL it is said that Capture range is the frequency from which the PLL starts functioning and Locked range is the frequency where the output of VCO is equal to that of reference oscillator frequency. If that is the case why the Locked range is greater than Capture range? My doubt is it shouldn't get locked as it crosses capture range because it stops functioning as PLL.
Words don’t necessarily mean what you think they mean. It is locked-in range. The range in which the frequencies remain equal and the phases in lock, not simply coincide by sheer chance.
That is the feedback loop remains in operation and the PLL is in lock.
Except for some non-linear phase-comparator designs, the loop filters will define how wide the capture range is, as the beat frequency must introduce variations on the VCO with the proper feedback polarity and gain.
But once the PLL is in lock, and the input frequency does not change too fast for the filters to follow or the VCO is not out of range, the PLL will remain in lock. That is the lock-in range.