Walter A. and Henry C. Ashley weren't captured. They were paroled at Wittsburg, Arkansas, on May 25, 1865, because the Confederate forces in Arkansas had surrendered. Basically, the terms of the parole required the men to lay down their arms, return to their homes, and refrain from any further military service until properly exchanged. Of course, since the war was over, no exchange was made.

I'll put together a brief summary of Dobbin's Arkansas Cavalry and post it here.