I recently found the captains armor on a new game and I noticed I bug that occurs while wearing the set.
After I boarded The Lady Vengeance I noticed that my character's pants were missing. I checked my inventory but they hadn't been unequipped they were completely gone. When I put on a new pair of pants the old pants were added to my inventory as if I had been wearing them when I put on the second pair. At first I just ignored it, I didn't actually lose the item so there was no harm done, but later it happened again as I was leaving the hall of echoes so i decided to do some testing.
I had a save from right before leaving fort joy so I loaded that a few times to try some different things. From what I was able to find the disappearing pants bug only happened when I was wearing the Captain's armor. The coat seems to be causing the issue. I tested it with two different pairs of pants, with and without the rest of the set. I have only had it happen after leaving a cinematic like the one that plays when boarding the lady vengeance. Interestingly, while the item no longer appears in the inventory or on the character it looks like it isn't being unequipped, at-least not entirely, because I checked and my character's stats didn't change. Instead of loosing the armor stats my armor went from 151/151 and 322/322 to 151/141 and 322/ 276. I didn't test to see if I my armor would return to above the stated max if I took damage but I would guess that it wouldn't.
Also There is a visual bug with the coat and the pants I was wearing (alchemist breeches iirc). I would guess this is a know bug but I will review it just incase since they might be related. In the inventory panel the captain's coat changes the appearance of the pants to be a pair of simple leather pants rather than the skirt Lohse was wearing. At first I assumed this was intentional but I noticed that the in game model is sometimes shown wearing the skirt rather than the leather pants even thought the inventory model always shows the leather pants. I didn't test this one as much but I did notice that after the alchemist breeches disappeared re-equipping them would cause them to display their original appearance.
The visual bug is very minor and doesn't affect game-play but I thought I would mention it anyway. Obviously the disappearing pants is inconvenient but like I said i didn't even lose any items over it so it is also relatively minor. I know some others have had problems with the captains armor + the devourers claws so I just wanted to say that even though there have been some problems I really like the new armor sets (at-least, the ones I have been able to find so far).
Here's hoping this information is helpful, and thanks for your time.