On occasion, a Sue has managed to capture an agent. Some simply don't have enough brains to do anything but stare dumbly at the agents, but this one was a genius/warrior!Sue with horrible grammar and horribly-OOC Legolas in her back pocket. The Sue melodramatically torturing an agent was the result. (Well, the Sue was melodramatic about it. The agent was just scared and pissed off.)
There are definitely other options, though. Some Sues would simply kill the agent, like Sakhmet tried to do to to Ithalond and Suicide. In other situations, the Sue is too brainless, passive, or non-combatant to do much, and it's her OOC canons, geographical abberations, and even punctuation storms that can kill the agents.
I haven't ever read a story in which the Sue won permanently, probably because if she did, the canon would be forever damaged. When the agents fail and die or go insane, another team goes in and finishes the job.
In my personal headcanon, Legendary Badfics aren't just the ones that are famously bad in World One, but the ones that have ended the careers of several agent pairs that tried to take them down.
Most of us don't really like to write stories where the Sue wins, but it's in the backstories of some characters with dead or insane ex-partners. And of course there are the various memorials.
If you think about it, the PPC has a lot of pretty dark implications. PPC agents are outright heroes who basically know the badfic is going to get them eventually and go for it anyway. On the plus side, there's the fact that many agents spend so much time in badfics and at HQ that by the time they die at, say, age 18, they've subjectively experienced a couple of centuries.
So why don't we focus on the dark stuff... I've thought about that, and here's the facts: If you go dark, if you go melodramatic and wallow in it instead of writing realistic characters in tough situations, then you're getting entirely too pink and glittery. Humor is one of the best ways to fight badfic; agents who can joke about the badfic are the ones who survive. It's kinda like the anthropic principle--If you're reading a mission report, it's because the agents survived to write it; and if they survived to write it, they must've found a way to cope with the crazy. And whether that's humor, friendship, or just pure rage, every agent has a way to deal without going melodramatic.