It's a soldier fly. Harmless to your plants. The larvae decompose compost matter...in fact there are those that "raise" the larvae to feed as a protein source to chickens.

Good bug to have around.

Here is a link that might be useful: Black Soldier Fly

When I was searching around the net, I came across the Blue Mud Dauber. So I thought it was this until now.

The two do look very similar. If it were the dauber, you would have a different sort of beneficial insect.

Should I try and capture it so I can get a closer picture, to make a better identification?

no if it is a mud dubber they can sting you and it can be very painful. my guess if it was making mud balls it is a dubber collecting stuff to make it nest pots. I have this type around my house and they make little potter pots style nests to put spiders and catipillers in so either way these little guys are the good guys