We cannot capture the traffic directly on the management interface but there is a way to capture the management traffic on the device using "service routes" . Service routes are used to send/receive the management traffic of the device from one of the dataplane interfaces instead of the mgmt interface. You configure this option from the device-->setup-->services-->service configuration. Once you do this, the mgmt traffic will take the path of the configured interface rather than the mgmt interface. Now you can capture this interface for analyzing the mgmt traffic.
Please follow below mentioned discussion for more information.
Hope it helps.
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