Their DPS is absolutely bottom of the barrel. They themselves only have one attack that does significant damage, and it's gated behind both the war cry AND a critical hit requirement. The herald's damage is beyond laughable, and his ability to hold aggro is practically nonexistant.
Their surviviability is weak. This is despite having heavy armour. The need to support more attributes than any other class (Might for obvious reasons, Vitality, Agility for crits, Will for power and anything to improve critical rating) means you likely won't have particularly high stats in any area including Vitality. This means less health. Add to that fewer mitigations and no decent reliable self heals (your only real heal only happens AFTER the battle is over or on one of those rare critical hits - and has a long cooldown), and you are remarkably squishy.
Their healing is mediocre. As mentioned, they get one decent heal, and it's gated to happen after an enemy dies, meaning it's likely too late to be relevant. The other heal is decent, but it uses power AND morale and has a moderate cooldown. Naturally, you can't use it on yourself, meaning it does nothing for your OWN defense.
Everyone yammers on about the buffs, but they're somewhat mediocre too, and they can be applied long before an adventure happens. You get your buffs in the Pony then leave the Captain there, because his contribution to the group is already in place. His combat abilities are so mediocre that he's pretty much irrelevant after he's done the buffs.
On top of all that, his abilities use so much power, and he has no real way to recover it, that he's severely hampered in pretty much any situation. Heaven forbid he take on some Angmarim or other Fear spamming creature that debuffs Will, because his power will drop through the floor and won't be recoverable (even if he heals the debuff immediately, the power is lost).
Captains, in my experience, and compared to most other classes, are EXTREMELY weak. I think they need some real help in pretty much all areas to bring them up to speed with other classes.
In other words, it's not that you're doing something wrong, the class is just badly designed (my opinion).