Not sure if I understand your question in full - so apologize if we have misinterpreted your question.
So you want to know if your are working at aerobic capacity?
1) Shouldn't this just be zone training - you can use your Moxy to make sure your in the zone you are training for...
For example recently we have been working in altitude chambers and using Moxy we can achieve the same zone (ie. aerobic threshold) at altitude as sea level. The athletes are stressing the cardiovascular system similarly but power output and fatigue at the muscle levels differ at seal level vs altitude.
2) detecting fatigue - I've seen different responses but for example a common sign (that I see in myself) is that smO2 levels are higher than normal and I have difficulty getting the smO2 levels down to where I can normaly operate.
You can test this fairly easy to see for yourself (maybe the best way and report back) - go do a few days of really hard days of training (create fatigue) - then the next day do a test on your self (maybe a 5-1-5 test or a workout that you do often) and see the difference. That should be a good indicator of fatigue on yourself.
3) How to see If the 'capillarisation training has actually improved' - aerobic threshold level should increase. So finding aerobic threshold your power, pace, X should probably be increase or be able to be sustained longer depending on your training.
Does that answer your questions at all?