Many capital cities are located at strategic transportation hubs or near vital resources, so there could be strategic reasons to capture it. It could disrupt the enemies command and control. It could have a effect on morale for both your troops and your opponents.
During the way of 1812 the British captured the American capital, and America went on to win that war.
During WWII, Soviets captured the Nazi capital and effectively ended the war in Europe.
So, there are reasons to do it, but it in no way assures victory.
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