Yes, that's true. I had thought about simply squeezing the finger to get some more but that appears to be a problem for the results too:
> Morris et al7 believe the higher variability of capillary blood compared with venous blood is due to the presence of extracellular fluid in capillary samples. In clinical practice, milking of the finger by insufficiently trained health care workers may result in even greater drop-to-drop variability than shown here.
http://ajcp.oxfordjournals.org/content/144/6/885.full
It's a very interesting problem. They didn't even see all the donors end up with the same average from drops as from a venous draw.