While there's plenty of classified Space Shuttle missions, without knowing what the content of any of them are (outside of any official press releases), it's very, very likely safe to say that there was never any missions by the Space Shuttle to retrieve or otherwise intercept any foreign satellite. You'd be hard pressed to prove that it was never considered at any level thanks to the fact that anything relating to that would be very, very classified, but there's plenty of evidence pointing to the conclusion that such a proposal wouldn't make it very far. That's not to say that the capability wasn't necessarily there - the Space Shuttle did make several missions to service the Hubble Space Telescope before changes in mission planning following the loss of Columbia made it impossible to reach Hubble and dock with the ISS in the same mission.
The most practical way to tell that this is most likely the case is how obvious it would be. Even if the Russians or Chinese for some strange reason decided not to loudly complain on the world stage, astronomers the world over both amateur and professional would find out very quickly. Satellites are incredibly easy to track if you know where to look, and it's been established practice for some time now to declare the intended orbits of launches in order to protect everyone up there from accidentally colliding with eachother. If some satellite were to suddenly disappear, people not associated with the country whose satellite we just stole would notice pretty quickly, especially if it coincided with a mission of something that appeared to have the capabilities to "steal" a satellite.
But there's also a very sound logic behind it all. Military satellites by and large are considered strategic assets on par with a nation's nuclear weapons and delivery devices for said weapons. Military satellites are used for everything from communications to strategic reconnaissance to missile early warning, and taking a nation's satellite out of action signals an attempt to degrade that nation's strategic capabilities. Between the US and USSR in particular, it was an important topic because of the legacy of the Cuban Missile Crisis. Military satellites provided a critical means to verify the other side is holding up their end of strategic arms reduction and limitation treaties, and thus any attempt to actively and overtly degrade a nation's abilities to verify treaty compliance such as stealing a satellite would likely cause a collapse of said agreements. Best case, it causes renewed hostility and secrecy, and worst case, it's cause for immediate nuclear war.
In the post-Soviet era, there's also the issue of what amounts to mutually-assured destruction in space. The nature of spaceflight makes satellites incredibly fragile and vulnerable. Any attack on one side's satellites will open up the possibility of retaliation against friendly satellites. And as the space around Earth gets increasingly crowded, we run into the issue of collateral damage, as a shooting war in space is going to clutter up orbits very quickly and likely render many unusable for some time. Because of this, there's a general sense that it's too dangerous to really even openly develop, let alone deploy antisatellite weapons in space, as it opens a Pandora's Box from which we can't protect ourselves from.