I'm gonna go the other way, and disagree with the majority of the last many posts. The meta for Civ VI is and has always been you will always be better off to sack several civs as soon as possible. Even still, going to war and conquering some cities is almost always going to be a net good to your empire.
It's funny to me how often people have said DF is useless, or that it's only useful for selling to the AI, who always overpay for it. Tack on a penalty to taking capitals specifically, and suddenly it's a devastating new cost? I don't buy that. With hard effort, it doesn't prevent you from winning any diplomatic victory (the key to which is making opportune votes, boosting visibility and learning AI voting patterns, winning relevant contests (for favor or votes), buying DF as needed, building the right wonders, and teching well).
If you're that worried about it that much, conquer only non-capital cities. It should add challenge to what is generally not a difficult part of the game (war with the AI), and incentivize use of other options to sideline the AI (like pillaging them into oblivion and abusing their output by forcibly taking their gold, resources, and DF).