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capturing warnings using capture.output

Messages sent to stderr() (including those from message, warning and stop)
are captured by type = "message". Note that this can be "unsafe" and should
only be used with care.

Capturing messages works as expected:

capture.output(message("!!!"), type = "message")
## [1] "!!!"

Capturing warnings doesn't seems to work:

capture.output(warning("!!!"), type = "message")
## character(0)
## Warning message:
## In eval(expr, envir, enclos) : !!!

Is the documentation wrong, or is this a bug, or am I doing doing silly?