There are several strategies to taking a capital.
Taking a capital gives all of the provinces you own a 10% morale boost, so waiting until you conquer all the other provinces of an enemy will give that morale boost to the maximum number of provinces.
Also some players will save that capital in order to capture it at a later time, which makes no sense to me as you get a -5 morale penalty for being at war, so you might as well finish it as soon as possible. Not all players make sense.
Now if the enemy is operated by an AI either as one of the starting non playable countries or an inactive former human player the AI will likely rebuilt the capital in another province after you capture it, so a lot of players will take advantage of that by only taking the capital and leaving other provinces for the AI to rebuild in. If the AI cooperates you can grab a capital every day, giving you a lot of morale.
