Welcome to Alpha version. Game mechanics are not set in stone yet.
Good news: unless it's some bullshit like regrowing Crystal locks, it's all manageable.
If you want to reach NG+ by legit means, consider fire mage focused on free casting stuff. Yes, upcasted fireballs with 0 manacost. Check Wizard's learnable perks carefully. And don't equip things which you don't need. Don't open purple chests. Kill ghosts on sight.
On a tactical level... Don't get cornered. Don't accept quests unless you've uncovered whole level map. Don't accept more than one quest at a time. And yes...
> Should I accept quests (looks like a pretty bad idea when they bind me into doll gear on the first dungeon level)?
Un-select Bound Crusader perk in pre-session perks selection. And don't you even dare to touch kinky game mode button (which is below normal and perk selection buttons).
> Is capturing generally the preferred way of defeating enemies?
Yes unless you're planning to use Summit (player base). If you won't personally wrap every prisoner like a christmas gift, they tend to escape. Which might turn your player base into an Apocalypse grade battleground. Since Summit is generally useless, not much of a problem.