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I know that outside of heavy Warp influence most regular daemons fade away, but what about the engines? They have a good deal of solid metal components, and their chassis could possibly protect the daemon inside. Would it be possible for one to roam freely in realspace and possibly be captured and studied by, say, the Adeptus Mechanicus?

I believe that the process of binding a daemon to an engine is like that of creating a daemon weapon or daemonhost. It frees the daemon from its normal dependence on a constant supply of warp energy but at the price of shackling it in a physical cage (something most daemons despise). We know daemon weapons can function away from the kinds of warp rifts that daemons normally need to manifest as Daemon weapons can be carried around the galaxy and used by just about anyone (see Castellan Crowe of the Grey Knights).

Yes, there have been daemons that have been trapped in the galaxy, as well as ^ daemon weapons etc. Take daemon engines or all the daemons that are trapped on battleships, they have to be fed souls to keep them in the materium though. They can be trapped on daemon worlds in the eye of terror without being fed though like in the grey knights omnibus.