The advantage Capsule gives you is statelessness. The user does not need to put her system in a certain state. You get one file and you run it. It should work regardless of anything else that's installed -- or not -- on your machine, with the exception of an OS and a JRE.
There are other ways to achieve stateless deployment, and Capsule is not always the right fit. For example, it's not the right fit if your app requires an Oracle DB installed locally (it could be done, because Capsule supports an installation script embedded in the JAR, but that probably wouldn't be a good idea in this case). But when it is the right fit (e.g. microservices, grid workers etc.), it's much more lightweight than any other solution.
There are other ways to achieve stateless deployment, and Capsule is not always the right fit. For example, it's not the right fit if your app requires an Oracle DB installed locally (it could be done, because Capsule supports an installation script embedded in the JAR, but that probably wouldn't be a good idea in this case). But when it is the right fit (e.g. microservices, grid workers etc.), it's much more lightweight than any other solution.