The 4th generation Time Capsule has a security slot at the far right of the back panel:
However, the manual does not mention what kind of lock I can attach to it.
What locks are compatible? For instance, does the Kensington MicroSaver work?
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Yup, that's a Kensington slot and the product you linked will work and is on the high end in price and fit/finish. Anything compatible will work - you can open http://amazon.com and then search for "kensington type laptop lock" for dozens of vendors at various price points and key/cable configurations.
The slot is a standard Kensington compatible lock style slot, or t-bar lock. All Kensington Locks will work with this slot, including the Microsaver line.
Kensington offers a smaller lock as well, reserved for tablets and ultrabooks, whose slot is less than 12mm. This uses a different attachment mechanism, but whose mechanism (Cleat) is backwardly compatible with the original slot.