I don't know much about modern cars so I'm pulling ideas from nowhere.
Couple of things come to mind.

Does the steering wheel continue to vibrate when you turn it? Try turning the wheel from full left to full right and back again, see if the vibration continues when you do this. Also hold the wheel at full lock and see if the vibration stops.

Get someone to hold it in drive with the brakes on and grab hold of different things under the bonnet. See what else is vibrating, if anything. Try the steering pump, aircon, alternator, air cleaner, basically anything you can get at (but beware the radiator fan!). Also get underneath and grab the various components at the front end of the vehicle and see if anything else is vibrating at the same time. Things like the axles, gearbox, muffler/exhaust, steering and suspension parts. Is the engine itself vibrating? If something else is vibrating then that may be where it is coming from.

I don't know anything about Captivas but if you can disconnect the steering pump or stop it from operating somehow (maybe loosen a belt?) and the vibration stops then it might be the pump or steering system causing it.

I don't know what any of this might mean but if you post your results then another member may know what is happening. Mechanics don't like this sort of fault finding because they have no guarantee of working out what is happening and have to charge you for all the time it takes. If all else fails, find a local mechanic over 50 years old or so and ask them. They will have more idea than Holden techs who only know how to run a diagnostic computer.
Good luck!