Capital cities tend to be central, they tend to be important administrative and industrial centres, and they also tend to be one of the, if not the, biggest priorities for the defending army. So if you lose your capital city, that usually means you have lost huge swathes of territory and much of your ability to produce weapons, and that your bureaucracy and logistics are in chaos, and that your army has been devastated.
I suppose one example of a country losing control of its capital but ultimately winning the war was France in the Hundred Years War. But war was very different back then. There must be more recent examples, but none spring to mind except small countries whose territory was recovered for them by a more powerful ally.
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