Was there a screenshot where we could explicitly see that annex/puppet were the only options when trying to take a capitol? God I hope not, this would be the stupidest thing they could do with the game.
The reason it can't be razed is a simple one, Conquest is given to the last Civ that still owns its Original City (Logical Assumption from known evidence). By not allowing this City to be razed means that even though you have taken the Capital of say France, if you leave the French Empire alone, you have its capital now, no point continuing the fight, However, the French can build an army sufficient enough with whatever resources it has left to take back its Capital if you are coming close to a Conquest Victory, which will prevent you from being the only Civ with its original capital.
So it really does make sense, hopefully this is apparent now. It add's a bit more challenge because you can't raze the capitals of your enemies, so you have to maintain them as well as your army, and protect them as well as conquer other capitals. You can't simply Steam Roll everything and raze/vassalise everything you touch any more, you have to raze or conquer permentally the cities, and conquer the capitals permentally.
.............
As far as other information on conquest.
We can now make a logical assumption based on the tid bits of information we have on Conquest, all together though it strings in a somewhat unathoadox manner to actually make sense.
1. Okay now from a "winning condition" screen shot, we can see that Enemy capitals conquered are not counted as "capitals" for the conquerer, they are simply crossed out.
2. We saw from a screen shot of Paris that France had lost its capital city to the Germans, but their was a new *Capital Symbol* for France on a different City.
So replacing Capitals is in.
3. From a Gamescon report, "Palaces are not able to be built" which means you certainly won't be able to manually choose where to put your capital, it stays at its original location till conquered. The only question remaining is how is the new one decided, does the option to build a palace suddenly become available (I ask why isn't it merely shown but greyed out then), or is one automatically assigned like Civ4.
The latter makes the most sense.
So from these points, the
logical assumption based on known facts, (and thats all it really is, till confirmed without a doubt) is that
"Conquest Victory will go to the last Civ to control its Original City." Or more accurately "To the last Civ to control its Palace." Which assumeably remains in your Original City when conquered, this differeniates between capitals for trade routes and for conquest.
This however has an additional effect with "Original Cities" being the deciding factor, if you a small empire and huge warmongeror are the only two civ's with capitals left, if you use your small ignored forces to launch a suprise attack and take your enemies Original Capital, you will be the only Civ left with its Original City, this means you win. Against all the odds, after the other guy did all the work. This is true to the new Civ5 principle of "you can see a victory coming and stop it" e.g, hunting spaceship parts or conquering the city building the utopia project, or hunting down a diplomats allies and making them extinct. I look forward to sneakily ruining someones plans for victory

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