I can’t comment on the Capricorn tube. I’ve never used anything else, so I can’t really offer a comparison. I am, however, very much in the “if it ain’t broke, don’t fix it” camp, so if your existing tube isn’t giving you problems leave it for now.
As a serious piece of advice: only change one thing at a time, then test under various conditions. Changing multiple things simultaneously will leave you wondering which particular thing is at fault if there are problems.
As for the Thermal Paste, it’s not strictly necessary for this application, but it does help the hot end temperature to respond more quickly to the application of heat. In reality, we’re only talking a couple of seconds, so it’s really not a big deal unless you’re working with a filament (and I’m not aware of any) that needs to have it’s temperature super tightly regulated.
Having said the above, I can think of one case where the paste is almost a necessity: the case in which the heating element is significantly smaller than the chamber it sits in. Without paste, you are relying on the air in the chamber to conduct the heat to the aluminum block, except for the area where the heating element is actually touching the aluminum block. If that heater is a reasonably tight fit, the air gap is very, very small and has minimal effect. On the other hand if the heater is substantially smaller than the chamber it sits in, then you’ll need the paste to bridge the gaps.