Not sure if it is a common knowledge already...
To move your capital you'll have to edit save file with EditSF 1.1.1 program. Save files are here: C:\Users\your user name\AppData\Roaming\The Creative Assembly\Attila\save_games.
1) Open your save file and go to--> compressed data->campaing env->campaing model->world->faction array->faction array0->faction (first faction is always yours).
2) 8 and 9 lines are the id of a settlement which is currently your capital. (for example, WRE capital is Mediolanum, with id number 18)
3) then go to compressed data->campaing env->campaing model->world->region manager->region array (list of all settlements on the map). click on a region and the 1st line is the id number. Mediolanum will be in regions_array - 17 section, id number 18. If you want to move capital to Rome, go to regions_array - 41 with id 42.
4) Go back to your faction section and replace 8 and 9 lines with id number of your choosing, save the file, close EditSF, launch the game and load the edited save file. Better back it up before editing

When I played as Ostrogoths in horde mode I captured Salona (in Dalmatia, so it became my capital), then took the rest of the province, next I moved to Pannonia, and then into Dacia, and this is where my capital suddenly jumped to Romula (minor settlement)............ after editing capital returned to Salona.