Sql Server 2012 Change Data Capture weird behaviour
Here is the MSDN

Large Object Data Types
Columns of data type image, text, and ntext are always assigned a NULL value when __$operation = 1 or __$operation = 3. Columns of data type varbinary(max), varchar(max), or nvarchar(max) are assigned a NULL value when __$operation = 3 unless the column changed during the update. When __$operation = 1, these columns are assigned their value at the time of the delete. Computed columns that are included in a capture instance always have a value of NULL.

By default, the maximum size that can be added to a captured column in a single INSERT, UPDATE, WRITETEXT, or UPDATETEXT statement is 65,536 bytes or 64 KB. To increase this size to support larger LOB data, use the Configure the max text repl size Server Configuration Option to specify a larger maximum size. For more information, see Configure the max text repl size Server Configuration Option.

You are using a nvarchar(max). I've got the same problem.
I fix it by changing my varchar(max) with varchar(255). For an address 255 should be enough.

Hope this help