If the kick is slow enough or sloppy enough to be caught, then yes you should catch it. Why not - it's there for the taking. In a non-tournament situation (i.e. real life) catching a kick should mean fight over.
When shouldn't you catch a kick? When you run the risk of breaking your arm by getting it in the way, or you become vulnerable to further techniques (punches, a clinch) because you've dropped your guard.
Catching a kick below waist level is not easy and would normally be the result of the opponent making a mistake rather than a deliberate strategy. It's not commonly seen in Muay Thai because most practitioners are actively taught how not to kick, which minimises the chances of the kick being caught.
As for the specific picture you saw - I'm surprised that the fighter threw a punch. Catching the kick is a great setup for a sweep or countering thigh kick, or even a knee to the rib or inside thigh of the held leg - all of which are point scoring opportunities in traditional Muay Thai.