I think you can argue for and against captains making the best coaches. Out of the 2004 coaches:
Former captains: Ayres (P), Matthews (P*), Sheedy (P), Thomson (P*), N.Daniher, Williams, Frawley, Roos, Worsfold (P*).
Not captain: Pagan, Malthouse (P), Connolly, Schwab (P), Laidley (P), Thomas, Rhode, Craig.
Frawley and Ayres failed. Pagan is one of the fab four of modern coaches.
Of past coaches: Tim Watson (P) was a failure.
If you just take the premiership coaches from the last 30 or so years - Matthews (C,P*), Sheedy (C,P), Pagan, Blight (C,P), Parkin (C,P*), Malthouse (P), Jeans (?), Joyce, Walls (C,P), Jewell (P), Barassi (C,P*), Kennedy (?) and Hafey. Notice most of them played in premierships themselves although Hafey didn't but that was 30 years ago. More recent ones mostly have.
P* - premiership captain, P - played in a premiership, C - captain
Of the candidates for the Richmond job only O'Donnell was a captain (not a premiership one) and played in a flag. Eade, Wallace and Harvey played in premiership teams.