I don't think it would make a very good captive. It would probably spend most of it's time flying into the walls of it's container and food you offer would just panic it. Probably similar to trying to keep a dragonfly.
Yah, it was sucking all the juices out of the yellow jacket and it looked cool! It keeps flying and bumping the sides of the cage and getting stunned. Should I let it go? Is it good for the environment?
However I think it would be possible to keep robber flies in a screen cage. Three sides could be covered with dark paper and the fourth facing away from windows or other light sources, with a lightbulb hanging directly above as the "sun". They might behave naturally in such a setup, however I don't think they live very long.
Oh ok. I ended up releasing it as it seemed to be not behaving normally in its cage. It was staying in the exact same spot the whole 2 days. Didn't want it to die since it eats pests so I let it go and it flew away after I coaxed it to.