Power factor improvement
You've discovered a resonating 2nd order low pass filter. OK, it's not a new electronic discovery of course but it might be for you.
Series inductance from the power source (it looks like you have a big inductive component) and parallel capacitance can boost the AC voltage at the resonant frequency of the supply. More load current reduces the Q of the circuit but you can get pretty reasonable voltage increases.

The above on-line simulation can be found here. At 50 Hz, the voltage has magnified nearly 16 times but you can get reasonable and modest voltage improvements with smaller value components.
The above simulation shows a 100,000 uH inductor (100 mH) in series with the supply feeding a 100,000 nF capacitor (100 uF) and a load of 500 ohms.
See how the resonance peaks at 50.32 Hz (I couldn't be bothered to make it exactly 50 Hz)? So, if you  had 230 volts AC directly across a 500 ohm resistor you'd get a power of 106 watts. With the circuit above with 24 dB of voltage gain at 50 Hz you'll dissipate nearly 27 kW in the 500 ohm load.

If we can increase voltage just applying capacitors in parallel, why
do we use huge generators

The problem with using capacitors is that the resulting supply voltage is quite load dependent whereas using a proper generator and transformers, the resulting voltage is stabler against variable load conditions.