Connecting Two PHY Together
Magnetics is always better because it is the standard way and it gives the expected result: the connection is established and kept stable.

Capacitive coupling, especially in 1000BASE-T, is always a lottery very often resulting in a long trial-and-error-error-error unfanny process having no visible end and confidence in the result's stability.

Therefore, if your design/project time is finite, choose the well-known, old-school, transformer-based method of coupling/decoupling. In your case you need only one transformer that is comparable in occupied area with a bunch of capacitors + other discrete parts in help of them.