Can we write 3rd-party app to capture SMS or a incoming call on Windows phone 8?
Following up on previous answers, those APIs are currently kept to trusted partners only (Mobile operators, OEMs, well-known brand names, etc). There just weren't enough developers asking for it to be included in WP8.
If you feel like you have a legitimate usecase to intercept incoming communication, please share it on the windows phone developer uservoice suggestion for this topic.