I stand corrected: The equivalent to the Capture window on mobile devices is dictation by widget (did not try that one before so I didn’t know). Because dictation by widget too needs the user to confirm creating a draft.
But to return to @phantastes initial post: Why not add a setting for the behaviour of the closing button of the Capture window? With options like Delete/Create Draft/Ask. I guess we all agree on preventing to lose content is of prime importance. And a setting like this would help a lot to do so.
You might also consider to add a Capture window setting that handles its float behaviour and add a float icon to the right corner of the window like to the main window.