1) Is there a way to capture them and train them to be ridden by militarydwarves. sort of like wardogs.
As others have said, they can't be used as mounts, nothing currently can, at least not by your dwarves. You could, however, catch them using cage traps (literally by building cage traps outside where you think they will have to pass through; the job "catch live land animal" assigned from the kennel doesn't help with that, it only applies to vermin). If you go to their raw file (unicorns are in creature_standard) you can add a tag like pet or exotic pet, which allows you to tame them. Note that they aren't currently breedable, but that is easily modded. Just add tags like [CHILD:1][CHILDNAME:unicorn foal:unicorn foals] to them.
This is highly profitable in that their bones, leather and meat are pretty valuable, exactly 10 times as much as the products of a horse or 5 times as much as those of a cow.
Unicorns, for what ever reason, are extremely aggressive though, so exercise caution when dealing with them.
I know that's the lore on the wiki, but have you ever seen them act aggressively? I've embarked near unicorns a couple of times, and I have yet to see them not run away, which isn't what I would call aggressive, let alone extremely aggressive, behavior.
Some argue that it isn't a bug - the animal killed one of your dwarves, making it an enemy of your civilization, and the animal seems to realize it and thus attacks the rest of your dwarves (but likely not other caravans).
Well, in that case the attacking part might conceivably not be a bug, but the part where your dwarves seem to treat it as friendly instead of putting it down as soon as they realize the hostile behavior probably is.
[EDIT]I'm almost certainly sure that if oyu just add the [trainablee] ta gto unicorns, you won't require regen
I can vouch for this. Neither trainable, nor pet/pet_exotic, nor even the child-related tag that allowed you to breed them, and which I have explained above, will require a regen. I have successfully made my unicorns breedable mid-game the last time I caught them and realized that they were sterile, so to speak.