I don't much like the idea of Deathwatch Captains. I quite dig Watch Masters because not only is the model awesome I do acknowledge that there should be an ultimate authority who can be deployed for particularly big and nasty engagements. However, I'm not as fond of Captains.
To me there are two sorts of Deathwatch deployment: there are missions utilising a Kill-Team or two and then there are enormous deployments which would require the Watch Master to enter the field. I don't really imagine there being much of a grey area between the two.
That being said...
There is a figure in the Deathwatch background, specifically from the old Fantasy Flight pen and paper RPG books, that the Captain profile is really suitable for:
The Kill-Marine is a single agent deployed as a scout and outrider by the Deathwatch. They operate for years at a time on their own even bartering for transport between worlds. They are independent and highly skilled individuals, which excuses the use of a high ranking officer's profile. It also means he'll be quite survivable. Since he has the Imperium keyword he can be deployed in any Imperial army without sacrificing your battle forged status (if I understand that rule correctly). He can make a nice flavour piece for an Imperial Guard or Inquisition army, a single character you can really go to town converting.