Since no one can make you change unit type, then it's all up to you to decide whether you really want to give up that +500 Mixed Infantry captain for a unit type that doesn't just advance and retreat alternately in every battle (Hyperbole, obviously, though that could account for how the captain got to +500 without ever dying).
I *think* that's more or less the rationale here. Given the IR against forcing anyone to choose a particular unit type, then it is entirely the volition of the player to keep or lose a captain.
Although, I remembered reading somewhere that there was development to allow captains to die during battle. Right now, I think they still die last.
