I think overall Captains are in a good place, don't overchange them!
My top 3 things I'd like to see changed.
1. Buffsticks - these are annoying, and I don't personally find weapon swapping in or out of combat to be interesting gameplay. I'd like to see these phased out of existence.
2. Heralds - They are weak and limited, and their heal isn't particularly smart on auto-cast, and doesn't work well on manual cast, often giving an error message when you click on it. I'd buff up their damage, give them damage types based on race (Dwarf = Ancient Dwarf Make, Man = Westernese, Oath-bound = Beleriand), and set the heal to not cast unless the Captain is below 75% of Morale.
3. Legendary Traits - Most of these are pretty passive, yet the passive ones seem to be some of the best ones all around, so you don't see as much of the active ones.
If Legendary Traits were up to me:
1. I'd make IDOME a baseline captain ability.
2. Roll Shield of the Dunadain into the Hand of Healing Captstone
3. Roll Oathbreaker's Shame into the Master of War Capstone
4. Create a special cooldown ability for the Leader of Men Capstone, perhaps a "banner" that is dropped in addition to normal banners that transfer threat to the captain, maybe with some kind of avoidance buff as well.
5. Create 3 new interesting traits to replace the 3 removed. Ideas include a trait that combines all the captains mark into one mark with all effects that still works with legacies/set bonuses, a trait that triggers War-Cry whenever you use one of your other defeat responses, or a Trait that buffs all of the Captains Tactics assuming the legacies are removed.
I think these kinds of changes could add some flavor to traitlines, and provide some interesting choices for captains that aren't all passive.