I'm back to New York, I just broadcast the message and UNATCO troops started to fire at me. I made my way to the apartment and my brother told me to run. I know I'm supposed to go to the subway, but after 2 or 3 tries, I didn't successfully made it. Anyway, I get captured and I noticed I can continue the story from that point.
Should I persist and reload my game until I made it to the subway or it does not change anything since I will be captured anyway?
If you haven't played too far, I suggest to get back to the hotel room with your brother and help him fight off the Agents.
You cannot win and will be captured at any rate, but this will prevent your brother from getting killed. If he survives you will meet him later in the game.
So, no. You cannot avoid being captured.
You will inevitably get captured at some point, though you're certainly able to delay that inevitability a bit if you're able to avoid being killed. More specifically, even if you make it onto the subway, upon arriving in Battery Park you will be captured with no chance of escape, so don't sweat it too much. (You might get a few extra skill points if you manage to make it, though.)
Based on what things you manage to do prior to being captured, it may affect certain things later on in the game (such as the presence or absence of certain characters):
Paul will live or die based on whether or not you save him at the hotel, and it's also possible (though a bit annoying) to kill Anna Navarre during this time period so you don't have to deal with her later. It's not possible to kill Gunther at this point, though.
