Why?
Captains are intended as incentives for keeping the same unit. If this were to be allowed, it would involve keeping only the name, and losing the bonus.
Also, due to the way the code and database are structured, it would be quite difficult to allow you to "save" a captain between one unit and another. Definitely far beyond the RP benefit gained by being able to keep the same captain.
Remember, a captain is just one of the members of the unit. If you disband the unit, or otherwise lose it...the captain was one of those soldiers you just lost.