There are four different types of packet captures you can enable, depending on what you need to do:
Custom Packet Capture —The firewall captures packets for all traffic or for specific traffic based on filters that you define. For example, you can configure the firewall to only capture packets to and from a specific source and destination IP address or port. You then use the packet captures for troubleshooting network-related issues or for gathering application attributes to enable you to write custom application signatures or to request an application signature from Palo Alto Networks. See Take a Custom Packet Capture. Threat Packet Capture —The firewall captures packets when it detects a virus, spyware, or vulnerability. You enable this feature in Antivirus, Anti-Spyware, and Vulnerability Protection security profiles. A link to view or export the packet captures will appear in the second column of the Threat log. These packet captures provide context around a threat to help you determine if an attack is successful or to learn more about the methods used by an attacker. You can also submit this type of pcap to Palo Alto Networks to have a threat re-analyzed if you feel its a false-positive or false-negative. See Take a Threat Packet Capture. Application Packet Capture —The firewall captures packets based on a specific application and filters that you define. A link to view or export the packet captures will appear in the second column of the Traffic logs for traffic that matches the packet capture rule. See Take an Application Packet Capture. Management Interface Packet Capture —The firewall captures packets on the management interface (MGT) The packet captures are useful when troubleshooting services that traverse the interface, such as firewall management authentication to external servers (LDAP and RADIUS for example), software and content updates, log forwarding, communication with SNMP servers, and authentication requests for GlobalProtect and Captive Portal. See Take a Packet Capture on the Management Interface.

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