[BjoernKW]

I'd say diplomacy. Russia is a powerful nation with an at least reasonably proficient secret service (the FSB might not be the match for the CIA the KGB used to be but I suppose they still know how to do their job). So, if they did try capturing him things might get messy and unlike the affairs of less powerful nations the CIA is involved in, in this case this might have serious repercussions.

Besides, what does the US stand to gain from capturing Snowden other than making an example of him? He's no immediate threat to any operations or to national security.