Horses should be Might 3. I’ll see if I can sneak that fix in. It’s true you can’t outright capture an owlbear without a bit of magic, but you could trick it into a trap (cage, pit, etc.). Kobolds can kill adventurers en masse, but in small groups they can’t. Though again, they could trick them into a situation that allows them to capture the adventurers. You don’t need a conflict to kill a captured and bound adventurer…
Towns don’t have a standing army of guards. What they have are guilds, each of which take turns on night watch, fire patrol and manning the walls. The “guards” you run into will be apothecaries or butchers or chandlers or fishmongers or goldsmiths, etc. We have a table on page 98 on which you can roll to determine which. And yes, by default they can’t capture you (though they can kill you or drive you off). But they could certainly trick you (get you drunk or drugged), get some magical backup, hire some adventurers, mount up on horses, etc.