It's probably related to this issue from the Godot repository. Not sure on a fix though.
I did get a sort of working mouse capture system by using MOUSE_MODE_CONFINED and making the mouse image a completely transparent 32x32 square. I manually calculated the delta by storing the previous mouse position and then subtracting that from the current mouse position. Whenever the mouse reached an edge I warped it to the edge on the other side. Warping the position made delta calculations interesting, there was a trick to it but I forget what it was.
That said, the MOUSE_MODE_CONFINED system wasn't very smooth and broke when the mouse was moved too fast. I wish I had the code, but I was just testing and didn't add it as a commit to the repository I was using.