The game captains are important because of their bonuses. It's a good practice to level up legendary captains, but you'll see that epic captains have also their benefits.
Dustan, has CP bonus.
Stror, best gatherer.
Carter, best explorer.
This is a difficult choice. Most have good bonuses and mixing them would be fantastic.
My preference is Cleopatra, she is a legendary captain with strength bonus for the whole army. Ramses is also legendary, and provides health to the entire army. You may find epic captains with similar bonus. Epic bonuses grow slower than Legendary.
Support captains are also important, apart from the must-have, other legendary captains offer bonus for specific type of troops. Those have the benefit that the bonus is for strength and health together.
A good strategy is to save elite summon scrolls. When the Summon Mastery event for the captain of your choice is active, spend them and you will get the captain.
Select wisely the type of equipment to craft for specific captains. Carter has an explorer equipment, while Stror has a gatherer one.
In time, you will start having materials and gems to combine. Try to adjust to your current level and captain abilities. A lot to discover here.
Hero is a special matter. Captains come and go with their bonuses, while the hero always stays active. Event if you unblock a new hero, this hero will get all the equipment and level. Hero equipment is more important in the long term, because is always active.
I was told, by my clan leader Nero TX, to maintain a level gap between hero and captain, that is, having the stronger captain 30 or 40 levels more than the hero. The reason behind is the missions you are assigned, regarding hero level. With the gap, the captain have it easier to complete missions.
In the long run, you will find that hero talents become more and more important. This means that you'll be tempted to level up your hero. No problem, do it. Leveling up the hero once in reaches high levels is not that easy. And always check the consequences, so you know better what's best and continue leveling the hero up, or hero and captain, or only captain.