counter espionage that capturing spy have 50% chance to reveal the country that hired/send that spy and this capturing spy incident will included in the news
example :
spy from unknown nations captured before executed his misson
or
spy from saudi arabia has captured before executed his mission/spy that work for (playername) captured etc...
and if neutral countries captured your spy they have to manually declare war to you or just put more counter espionage if he won't go to war with you.
you will got notice (we lost contact from spy in (province that he hired) before he executed his mission) in espionage tab