I would say that it applies primarily or only to combat effects like Sleep. If the PCs really want to capture a monster alive, and they're willing to do its HP in nonlethal damage to achieve that, then let them.
If this actually happens, then remember that just because it went below 0 with nonlethal damage doesn't necessarily mean that the monster is unconscious in the usual sense. It could be stunned for several minutes, too weakened from blood loss to keep fighting, it could have lost too much essence to take actions, or whatever metaphysical explanation works for your group. At that point the PCs have overpowered it and it lacks the strength to keep fighting, so let them make that choice unless it's really important for your campaign. (What exactly are they going to do with a Shadowy Apparition once they've captured it? I don't know, but I'd like to find out.)
EDIT: For the sake of people who would like an answer based on RAW, I did some digging in the Rules Compendium:
- If you're immune to unconsciousness, then it has no effect on you.
- There's no such thing as lethal or nonlethal damage; the attacker chooses to either knock the target unconscious or kill it at the time that it drops.
- Monsters die when their hit points drop to 0.
So if you're looking for pure RAW, then what would happen is this:
- The PCs would hit the unconsciousness-immune monster until it dropped to zero.
- They'd declare that they want to knock it out instead of kill it.
- The effort would fail because the monster is immune, leaving it at 0 HP but fully active.
- Further hits would do nothing because monsters can't go into negative HP, and you must drop a monster TO zero in order to trigger its death. (This is completely absurd, but certainly no DM would repeatedly let a player trigger something caused by a drop to 0 just because the player sat at 0 for multiple rounds.)
- Once the monster regained 1 HP by any means, the next strike would kill it.
This is an amusingly goofy sequence of events, but if you assigned a completely literal computer program to interpret the Rules Compendium for this event, this is what it would come up with.