Recovering unmanned aerial vehicles (UAVs) in maritime environments is challenging due to wind turbulence and ship-deck motion, making it a valuable test case for alternative control and learning approaches as conventional landing approaches often become unreliable. We study simulated mid-air capture of quadrotor UAVs by a ship-mounted robotic arm, learning robust cooperative control policies with Heterogeneous-Agent Proximal Policy Optimization (HAPPO) Reinforcement Learning. We train with HAPPO using a curriculum and an adversarial wind agent (HARL-AC) in NVIDIA Isaac Lab, and compare the obtained control policies against those generated through curriculum-based domain randomization and a benchmark trained on a single sea state. In-distribution evaluation on sea states 0/4/5 shows comparable success for HARL-AC and domain randomization of up to 97.5%. On out-of-distribution sea states 7/8/10, HARL-AC generalizes better, achieving up to 16% higher median success rate at sea state 10, and substantially lower crash rates of up to 14% compared to the domain randomization policy. Furthermore, we show that the adversarially trained policy shows more cautious behavior, slightly increasing timeouts by <3%, but yields safer recovery behavior in severe, unseen conditions.