Capture MIDI a.k.a retrospective MIDI record is a way to catch your jams when you forgot to press the record button - in practice Bitwig would keep the latest MIDI input in the buffer memory and recall it by pressing a dedicated button in the DAW (and for example creating a new clip out of it).
If you forget to press record, or if you “just run through it first”, you might hit on something nice that you then can’t re-capture when you try to record it. Capture MIDI records MIDI inputs into a buffer during playback and then allows you to “record” the contents of that buffer to a track if you realise you would have like to have recorded what you played.
Bitwig puts a lot of emphasis on unrepeteable moments, living sounds, live performance… Sometimes that unrepeteable moment is very good, and you want to capture it before it goes forever…
There are no features of this nature at present but from the user point of view it would involve just an additional button and/or keypress to copy the captured MIDI to the currently armed track(s).
Live, Cubase, Studio One and Logic.