Quality factor of capacitor
As you go up in frequency with an inductor (or up in inducatnce) the impedance due to the inductance increases. this means more of the energy is put in the inductance and less in the R. With capacitor, as we increase C, the impedance lowers - this means that we have less energy in the C, and more gets wasted in the R. It's not so much that more energy is stored if we have a smaller capacitance, as you say, that would be counterintuitive. Rather, the ratio of energy in the electric field in the C to the energy in R increase.