Make sure that:
Capture Client service is licensed under Endpoint & Remote Access Services group on DEVICE | Settings > Licenses page. For more information, refer to Managing SonicWall Licenses section in SonicOS 7.0 Device Setttings Administration Guide .
If the license for is not activated, you get error message as shown below.
Enable Endpoint Security Enforcement option is enabled on POLICY | Endpoint Security page.
If the service is not enabled, you get error message as shown below.