I don't think WFServlet was designed to "run" JSP files. As far as i know, it's purpose is to make the proper connection to the Reporting Server to load/run .fex and .htm files.
I think JSP pages should be placed in a valid Context location as per you Application Server, and not as MRE resources.
In a classic model you would define an application context in Tomcat or whichever app server you use and place your JSP file there.
You should then be able to run your JSP page directly from your browser by using something like:
yourhost[port]/myjsp/save_cap.jsp?IS_CONFIRM=Y&GRANT_YR=2012
If that worked, then you can use the very same URL to perform your Ajax call.
I just don't see it working from within the MRE, but I can obviously be wrong. The fact that I've never seen that done like that does not mean it's not possible ... it just looks strange to me.
Beyond that, make sure you use properly encoding when creating your URL. I doubt "\/" is a valid way to escape "/" in your parameter values. You should use %2F instead.
Prod/Dev: WF Server 8008/Win 2008 - WF Client 8008/Win 2008 - Dev. Studio: 8008/Windows 7 - DBMS: Oracle 11g Rel 2
Test: Dev. Studio 8008 /Windows 7 (Local) Output:HTML, EXL2K.