Why do some bead nozzles have a cappillary?  

The word capillary comes from the Latin word capillus (hair).

In the case of bead or dot nozzles, capillaries are tubes with a very small inner diameter. By using a capillary, contamination of the nozzle outlet can be largely avoided.

Figure 1 Nozzle cone with capillary for pneumatic hot-melt adhesive guns

Capillary nozzles are often used in applications where precise application or dosing is required, as they enable controlled and accurate delivery of adhesive.

The fine and elongated cavity has a thin wall thickness.

The thinner the material wall, the better the thread breakage of the hot-melt adhesive.