Whenever I improve a tile with Marble on in a city I get the " has Marble!" message, to indicate that the city is now getting the +15% bonus to Wonder construction. I don't get this message when improving a Marble tile for my capital. Does the capital city get this bonus, or not?
You receive this bonus in whatever city is working that marble tile, so if you do build your capital on it then you will receive a +15% bonus for the capital as you would for any other city. I'm not sure why the message doesn't pop up for the capital but it does still receive the bonus.
Its also worth noting that building your city in different locations will provide all sorts of specific bonuses; hills for example will boost production and city strength.