>Good point...closest down. Capture Date must be less than or equal to PO Date.

If it always less or equal, then the simple select will work

select * from (select TA.EDP, TB.Alert, Row_Number() 
OVER (Partition by TB.EDP ORDER BY Tb.CaptureDate DESC) as RowNum from TA 
INNER JOIN TB on TA.EDP = TB.EDP and TA.PoDate>=TB.CaptureDate) Derived where RowNum = 1