The main advantage is that your armies led by captains are less likely to turn rebel. If you have a 0 authority King a lot of your captain-led armies will turn on you, especially (maybe?) if they are in rebel territory. Usually not a problem if all your armies are led by generals with at least 4 loyalty, but if, for example, you decide to keep a pure family tree and don't adopt anyone, you will be short on generals, and the ability to use armies led by captains without worrying about them turning rebel is a nice advantage.
Aside: What is the loyalty of a captain in terms of the dice rolls for bribery/randomly turning rebel?
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