Is intercourse allowed with married captives?
If a captive has been married off after enslavement, then it is not permitted for her master to have intercourse with her as a concubine. A slave woman can either be her owner's concubine or someone else's wife - she can not be both.
If the captive was already married before enslavement, then there are two possible cases:
Her husband was not captured alongside her. In this case the previous marriage is over. This is agreed upon.
Her husband was also captured and imprisoned alongside her. In this case the view of the majority is that any previous marriage is annulled. While the view of the Hanafis and some others is that the marriage is retained.
When the marriage is annulled it is permissible for the owners of the slaves to have sexual relations with them in the capacity of concubines.
The evidence for annulling the marriage of captives is the verse of the Quran:
والمحصنات من النساء إلا ما ملكت أيمانكم
[prohibited to you are all] married women except those your right hands possess
— Quran 4:24
And the hadith you have quoted further clarifies that this is about captives who were married before enslavement:
أن رسول الله -صلى الله عليه وسلم- يوم حنين بعث جيشا إلى أوطاس فلقوا عدوا فقاتلوهم فظهروا عليهم وأصابوا لهم سبايا فكأن ناسا من أصحاب رسول الله -صلى الله عليه وسلم- تحرجوا من غشيانهن من أجل أزواجهن من المشركين فأنزل الله عز وجل فى ذلك ( والمحصنات من النساء إلا ما ملكت أيمانكم) أى فهن لكم حلال إذا انقضت عدتهن
On the Day of Hunain, the Messenger of Allah (ﷺ) sent an army to Awtas, where they met the enemy, fought them and prevailed over them. They captured some female prisoners, and it was as if the Companions of the Messenger of Allah (ﷺ) felt reluctant to have intercourse with them because of their polytheist husbands. Then Allah, the Mighty and Sublime, revealed: "Also (forbidden are) women already married, except those (slaves) whom your right hands possess", meaning, they are permissible for you once their 'Iddah has ended.
— Muslim
Both of these are evidence that marriage of prisoners of war is annulled - either because of enslavement alone or by separation from husband - اختلاف الدار.
Answers to your miscellaneous questions:
Are their husbands captive with there wifes?
I am assuming that you are asking specifically about the captives of Awtas. The hadith implies that the husbands of the women were alive. However it is not clear whether the husbands had been captured. Basically what happened is that in the battle of Hunain the enemy forces were routed and they fled to Awtas, Nakhlah and Ta'if. These were then pursued and the ones who had fled to Nakhlah and Awtas were routed again. While Ta'if was besieged but not conquered at that time. So it is possible that the husbands of these captive women could not be captured but had fled to somewhere else.
I mean non-muslims have their own rules in their religion
When non-muslims are living under Islamic law they are subject to Islamic rules and not the rules of their own religions. They are allowed to follow their religion in religious matters (like acts of worship and beliefs) but they may or may not be allowed to follow it in worldly matters. Rather for a majority of these matters the Islamic rulings take precedence.
So for example: they are not permitted to deal in interest, they are not permitted to fight against Muslims, they are not permitted to preach their religion to Muslims, they are not permitted to inherit from Muslims, they are not permitted to retain marriage to their converted spouses etc. This is all despite the fact that all of these actions are are lawful or prescribed in their own religious laws.
In the same way, when a non-muslim captive is enslaved then her previous marriage is annulled by Islamic law. What her own religion says about the matter is irrelevant.
