Whomever is logged in don't have the capabilities link. For example if admin is logged in admin doesn't have the capabilities link; but if wrsantiago is logged in then he doesn't have the link. I hope I am not redundant but I am trying to be clear.
WP 3.6 BuddyPress 1.8 No plugins activated
After a LiveSupport with Jack Kitterhing he said: Yep I see it now, it’s standard BuddyPress feature, though it looks like the capabilities template is broken on Blogs MU for me.
Thanks in advance!