"Captain" has far too much real world connotation for me. I'd prefer not to have my medieval fantasy game use terms which are in common use today, especially those which imply a very specific rank and power level. Is that character a Captain when he's a 1st level peasant and also when he's leading an army of thousands? Is he ever a Private, a Sergeant, or a General?
Warlord isn't great, I agree. I can't think of a better term; it needs to be generic and not linked specifically to rank. A character's rank in a a roleplaying game (peasant, private, captain, constable, vizier, king, general) is not a class function.