What do you mean exactly, how many deaths or times entering stage do you need? I so far got it twice and just kept dying in the pit over and over until it showed up. Would be nice to know exactly. Thanks.
So it should only take four loops where you go from the start of the stage to where the capsule is. You have to "enter" the stage to start each new loop. "Entering" the stage is when you see the "Ready" words flashing on screen while you teleport into the stage. This can be done either from dying or from using the Escape Unit to get back to the Stage Select then selecting the Fortress stage again. On your fourth run, you have to have full health before you drop down to where the capsule is. If you don't have full health, it won't spawn.
Basically, it's the same conditions you needed to spawn the Hadouken capsule in Mega Man X1.