Also a bit concerned about the “Captain your own ship” bit…
My guess is they mean that if you’re doing the Safer Seas stuff, you get a standard ship and you can customize how it looks (sails, cannons, etc.) from the NPCs in the harbour but you don’t get to name the ship, and any customizations you do aren’t saved for the next time.
If you do the High Seas, you can buy a ship, name it, and unlock lots of customizations (more than standard ones) which are saved with the ship, so they’re there next time you log in and select that ship.
I don’t know about the other current major advantage of a captained ship, which is currently being able to unload all your treasure and sell it extremely quickly. Without that you need to dock, then manually run all the skulls to the skull guys, all the trade goods to the trade guys, all the treasure to the treasure guys, etc.