Izuku mentioned that Lady Nagant could've just shot him in the back instead of shooting his phone/GPS out of his hand. Her doing that was what made him understand that she wasn't completely evil. I don't know if that counts or not, since her job wasn't to kill him but to capture him.
League of Villains captured Bakugo, but Shigaraki wanted him to join them not kill him. And when he gave a hard no as his answer, All Might and the heroes should up to save him. Though it still seemed like he wasn't going to have Bakugo killed. Maybe use him for something else.
Heroes aren't really captured by villains. Wolfram had caught All Might and the other heroes. But killing All Might would be impossible, and he wasn't really restrained and could break out. The only reason he was kept in line was that Wolfram would have other people killed before he could stop him.
Shigaraki did have a chance to kill Izuku, though he agreed that doing that would mean he gets captured. He wouldn't be able to get anyway before being arrested. And if Shigaraki got arrested that would've ruined a lot of plans, though AFO may have done something before Shiggy could be locked away?
I'd say the only moment where this applies is the USJ Arc. With the USJ Nomu, Shigaraki could've had it kill everyone before All Might should up. At the very least he had the perfect chance to kill Aizawa, but decided to leave and try to kill some random kids to hurt All Might before he could arrive.
Erasure Head dying back there would've given the villains the win at this point.
@Damage3245 I don't think Shigaraki is strong enough to kill him in two shots. Endeavor got up pretty quick and got him off with his flames. If he could kill Endeavor that easily he would've. Endeavor just really tanky. Do I'm agree he could've landed another hit on him while he was down.