Burtons will probably never establish in captivity, unless someone comes up with a technique of force- or assist-feeding them on food other than lizards. There have certainly been cases of individuals which over time have been conditioned to take pink mice, but that still doesn't solve the problem of raising hatchlings.
Sexing legless lizards is a challenge. On Pygopus it seems like the size of the hindlimb flap as well as the presence of a spur beneath the flap in males may be the key. I have not yet played around with enough Delmas or other genera to see if this technique works for all Pygopods however.
I see the captive breeding of Pygopods as one of the next big challenges for adventurous reptile keepers. I know a few guys who are working with P. nigriceps, and I wish them all the best.
Certainly as captive specimens the insect eaters, particularly those that live above ground (as opposed to litter dwellers etc) are fantastic. Highly active, excellent feeders, reasonably long-lived (Pygopus nigriceps lives for over 10 years).
I hope they become better represented in captivity in the future, as people nut out the tricks in breeding them.