I can't say for sure (so someone can correct me if AFP (which I assume is being used) works differently) but a common problem with Windows network transfers from one remote device to another is it will pull the file TO the computer you use to initiate the transfer, then move it to the destination, which is much slower than a direct transfer.
If Time Capsule has a function in its interface for transferring files to a connected drive (or can be connected to via ssh to do the same), that will probably be a better solution than initiating the transfer via Finder.