There's major catalyst poisoning issues with trying to capture coal/oil/gas combustion streams, which can be contaminated with everything from nitrogen oxides and polcyclic aromatic hydrocarbons, to sulfur and arsenic and mercury.

Even though you have to expend energy to preconcentrate CO2, the benefit of having a clean stream (assuming not downwind of Los Angeles) of CO2 is that further industrial chemistry is much easier, catalysts last much longer, etc.