Should I do a thesis, no thesis, or a capstone project in a master's in statistics?
Could you give us some more detail about what the capstone project would entail? That seems pertinent to the question at hand. I'd say that you should try to get a perspective from people currently at work in the industry, rather than academics. My two cents worth is that a thesis would look good if it could showcase your written communication abilities and demonstrate an ability to do self-directed work. But consider the time involved and ask if the time spending acquiring/demonstrating these skills might be better used doing something else equally or more applicable to entering industry, such as networking, internships, or the like. The question isn't whether a thesis is good: it is. The question is whether it's the best use of your time, which we aren't going to be able to tell you a priori, I don't think.