Hello @Martin Gratton
you for reaching out on the community and telling us about your issue. I do believe that capital one lets you do web connect and we can see if we're able to also add it
Go to capital ones web site and sign in. In the search bar look for download/export transactions. There should be a page now that lets us choose the acccount/date range/format. You'll want to choose the QFX format and download the rest to your preferences. Once downloaded if you click on it and it should import into quicken.
This is one method of downloading transactions. After this we can also double check if the accounts are available to be downloaded via the One Step Update. If you'll look at the article here you'll see the steps to activate an account that's currently using web connect.
Please let us know if this helps you out