Hi Tom ,
Confirmed with this link :
about the system databases.
It has been also the topic of a question in a forum ( other than SQL Server Central ones ) that I have followed when SQL Server 2008 was available.
In :, I have found :
"Change data capture cannot be enabled on system databases or distribution databases"
+1 for your post.
Anyway , a good question , easy for me only because I have studied deeply the system databases last month because I was thinking that I had not enough knowledge about them.