I do not think that serial killers, on average, want to be caught. I think cases such as Vlado Taneski is more of an example of getting cocky or too comfortable with the situation and becoming sloppy with their actions. In addition, serial killers by nature are repeating their actions which creates increased opportunities for them to create patters and clues.
I think that just like any person, when you "successfully" do something you become proud and some become arrogant and the more you successfully do this thing you start to think that you will never get caught..(in reference to murdering). They may think that they will never get caught and become comfortable and "sloppy" leading to them becoming caught. Or they are no longer able to differentiate between reality and what they portray to be real and they slip up like the reporter did.
The serial killers that allow their pursuits to be seen or the ones who perform elaborate schemes such as the Macedonian man are killers who reside on the more narcissistic part of the scale. They like flaunting, teasing and showing off. What gets them caught is not any desire to be arrested; they just get drunk on their own hubris and make mistakes.
No, Serial killers do not secretly want to get caught. I think serial killers want people to know about their crimes, and I think they want to be infamous, but I don;t think they actually want to get caught. If they were to be caught, they would be unable to do their hobby anymore, which is killing.