They may have blasted beyond recognition or a least beyond usefullness during the taking of the fighters. Or maybe they commit suicide before their capturers can get them.
Doubtful; it takes an awful lot more to destroy a body completely then it does to kill it. Even assuming the Shivans have cybernetically redundant-ified themselves greatly, we still saw one go down long enough to be secured by a sharp capture team in Hallfight (and that's assuming it wasn't actually killed, which we can't really prove one way or the other).
The suicide theory has greater merit, but I think it's noteable that they say "all experimentation on live subjects", not "all experimentation". The Shivans weren't removed from the picture entirely until after GTI was, so it's almost certain that the GTVA has intimate knowledge of their physiology. What they know may not be terribly useful in determining how a live Shivan behaves, but they're probably pretty certain on how to best kill and incapacite them.