This might be helpful for anyone who has just received a new Kohls Capital One Visa Card. While Quicken currently shows no option for connecting and downloading to Capital One for a Kohls account I noticed that that the existing "Wall-Mart Credit Card" option uses a generic Capital One access "verified.capitalone.com". When I tried setting up a new "Wall-Mart account" Capital One found my new Kohls account, which I was able to select and connect to using my new Kohls username and password.
I am sure Quicken will likely be setting up a new financial institution for the new Kohls Credit Card but until they do this is a way to download transactions. (which I haven't been able to do for 1.5 years)