First of all, hasn't CAPM been shown to be a nice, but not terribly accurate, picture of how the market works? Among other things, it assumes that asset returns are normally distributed random variables, it assumes that investors have homogeneous expectations about the return of an asset (aka everyone has the same info at the same time and observes the same risk and expected return of any particular asset), and it doesn't explain variance in stock returns. In other words, it doesn't accurately mirror reality.
Secondly, while I agree that most people shouldn't be picking stocks, my hair still bristles when I hear someone say that individual investors can't beat the market. True, little retail investors are probably at a disadvantage to the bigger, faster funds out there, but this hasn't stopped a handful of people from beating the market. <brag>I've averaged 28% annual returns over the past 12 years. Maybe you would say I'm just lucky though? </brag>