A captain needs to have earned the respect of the players of the club if he wants to be an effective captain, and that respect needs to be as both a person and a player. I can't see how an import could possibly fill that role, even if he is one of the game's greats. The players won't have been around the guy for long enough to respect him in the way that is necessary for him to be captain. If anything, they'd probably resent the fact that he waltzed in and took over.
It's completely different for a coach. Coaches don't have the luxury of being able to blend in with the scenery for a while before really earning their respect. They need to demand it instantly. You're comparing apples and oranges there.