I was presenting at SQL Saturday 893 in Virginia Beach this weekend and when demonstrating the code I accidentally chose TailSpinToys-US database. It turns out that schema names do not like dashes. So I have checked in changes to both the TDC Wizard C# project and the pure SQL project to correct these defects. You can find the updated TDC Wizard C# code here Temporal Data Capture Wizard and the pure SQL version here TDC for SQL
This has been released to the community for several years now so I suspect no one has run across this edge case.