Captive login is what public Wi-Fi hotspots often use to redirect you to their login page that has their ToS on it when you first access their Wi-Fi. Without it, you wouldn't be able to use their service.
Welcome to Android Central! What do you mean by "stop this captive login to screen my facebook messenger chat"? Are you saying that you're getting an error message related to Captive Portal Login that's interfering with your FB Messenger app? Or do you just see this Captive Portal Login in your system apps, and assuming that anything you don't recognize is immediately suspect, want to delete it?