For one thing, Fury would be wary of doing anything to anger Banner and trigger a transformation. Why risk that when the man was calm, hadn't had an incident in years and would cause a catastrophe if and when he did? SHIELD could track Banner and go after him whenever they needed to. Surely they would have stepped in if Ross moved on Banner, as they had before. It was a matter of letting sleeping Hulks lie, so to speak.
Another consideration would have been the fact that there were people within the World Security Council who not only sided with Ross but allowed him to access SHIELD's computer system. Not only were they undermining Fury by giving classified information to Ross, but they had tried to force Fury to use Blonsky on the team. Had Fury captured Banner prior to the crisis that caused the Avengers to be formed, he would have run the risk of Ross being able to convince the WSC to turn the scientist over to him. Once he managed to get the WSC to approve his plans for the Avenger Initiative, Fury had the leverage he needed to shut Ross out of the loop completely. He had also gotten that "Hulk cage" built into the Helicarrier, presumably with all the money he got for his increased budget. So, no worries about a breakout if they needed to lock Banner up.