There are several effect that could explain retrograde captures being easier than prograde.
As Nickolai noted, aside from atmospheric effects and non-uniform gravitational fields, there's not way for an orbiting object to know about the spin of the primary. However, in general, planet's do have non-uniform gravitational fields- they bulge due to rotation, and satellites raise tidal bulges which induce drag. A body approaching on a retrograde path will always experience tidal drag opposing it's motion, lowering its orbit around the planet. An object on a prograde path whose closest approach is higher than synchronous orbit will experience forward drag pushing it farther away- no possibility of capture. If it's closest approach is below synchronous orbit, it will experience capturing drag, but less than a retrograde body would.
Additionally, you have to consider that a planet capturing a new moon is itself in orbit around the sun, as is the body to be captured. If the planet has prograde rotation and the body to be captured is initially on a lower orbit, it will be moving faster than the capturing planet, and thus will have retrograde motion when it passes by on the sunward side. If the body to be captured is on a higher orbit, it will be moving slower but pass by on the opposite side- again resulting in retrograde motion relative to the planet. In order to make a prograde approach, the body to be captured must have a highly elliptical solar orbit, so as to move much slower than normal on the inside track or much faster on the outside track.
Finally, there's the effect of gravitational interactions with existing moons. Depending on the exact relative positions of existing moons, the passing body can be either sped up or slowed down regardless of whether it's prograde of retrograde. I have no idea what the probability distribution is for different course changes, but I would not be surprised if it turned out to be more likely that a body would be accelerated in the prograde direction, which means ejection for an initially-prograde body and capture for a retrograde one. Even if that is not the case, however, the other two effects should be quite sufficient to explain the increased ease of retrograde capture.