I have the same problem with my bamboo pen & touch. The pressure sensitivity does work on SAI, but didn't work in photoshop. And yes, I've already set the shape dynamics on. Should I re-install my bamboo?
I just got a Bamboo Capture as well and had the exact same issue (pressure sensitivity not working not matter how many times I restarted or downloaded new drivers from the site after having installed the CD). With a friend's help we think we figured out a solution (not sure yet if it is permanent but working well thus far).
First, uninstall your Bamboo tablet (from Add/Remove Programs part of your computer or Uninstall Software). Once it is complete restart your computer if it asks. Then go to the Wacom website [link] (or go to your country's site if available) and find the driver for your tablet. Install it and it should work. It did for me. Best of luck!
Same thing with my capture, the pressure wont work, except on the tutorial, but on everything else the pen pressure isn't working. I really hope it isnt broken. I thought it was the paint program but the pressure wont work on anything, Sai, paint, paint.net its not working. If you get an answer please note me the solution thanks.
But yours is at least working with SAI? I just got my Capture today, and after installing it's doing this weird thing where this bubble-like popping graphic appears any time I try to draw on SAI; lines are jerky and stilted, and dots are impossible. (It's the same thing that happens on MSPaint or TegakiE with my old Graphire2, which is why I stopped going to Tegs.) Works fine with PSP, but not SAI - and since I predominately use SAI now, this is kinda seriously harshing my squee over the new tablet.