I never saw this message before, but I have 3 villains trapped and went to look at a different villain and instead of the price/potions cost it said "VAULT FULL"
Does this mean you can only trap 3 villains at a time?
Yes that is correct, only 3 at a time. If you are using the 5 traps to snag a villain, make sure you do it at the right time and know what 3 you are wanting.
I have been caught out with this previously.