I've been wondering the same thing. Here's my theory:
After a female alate mates with a male, it usually spends some time looking around for a spot to dig a founding chamber. In this time (Could be 5 minutes, could be hours, and may even be days for some species), they shed their wings. If they happen to see a bright light in this time, like a blacklight, for example, they start to fly towards the light and are simply mesmerized by it. When they reach the light, they either sit next next to it and forget what they're supposed to be doing, or find a wall or pillar next to it, and try to get even closer. Soon enough, they'll have surpassed the time they would have used to begin digging a founding chamber, and their window of opportunity to shed their wings is over.
Then, when a curious anter (such as yourself) finds the queen and places her in a setup, she'll continue to lay eggs and start her colony just as she would have done if she had shed her wings; she's just pretty much forgotten she still had them on.
Other queens that you catch during flights, however, are still in that mindset that they've got to shed their wings; that's why when you catch winged, mated queens from nuptial flights, they eventually shed their wings in their tubes.
Unfertilized queens will simply never shed their wings because they aren't mated yet.
Edited by VoidElecent, May 21 2017 - 3:26 PM.