True, it's not your problem if Capital One gets defrauded. But "identity fraud" is a generic term that comprises the entire suite of ways you and/or your bank can be defrauded, and it's not always the bank's problem.
Sticking to the financial space, the monetary losses are theirs to bear-- they don't try to make you split the difference on losses, do they? You dispute it, they perform a perfunctory investigation, accept the losses and move on.
Same goes for data breaches. $150M gets stolen from "the bank." They don't charge everyone 150M/(N customers) to recoup the loss; they file an insurance claim and life goes on with the same amount of money in everyone's accounts.
But the corollary is that it's not Capital One's problem to unfsck your credit history/reputation after a fraudster has impersonated you to open and bust out of HELOCs, credit cards, utilities, and writing/cashing bad checks in your name. That much is between you, the other affected institutions and the credit bureaus.
Credit history is maintained by third parties who aren't inherently concerned with the validity of your accounts (they get paid the same to report whatever data they have either way), and is tied to a rigid set of credentials that are very difficult to change or re-establish.
(To me, this is the bigger problem with victimization-- it's easy for your "identity to be stolen" or to create fraudulent new ones with or without ties to you but very difficult to be granted a legitimate new identity. Even where successful, the ghosts from your falsified past will still haunt you thanks to the number of fourth-parties who cache and resell stale data.)
If someone socially engineers your credentials out of you and reroutes your direct deposit to a disposable account after having supplied harvested username+password, divining the answers to your security questions, verifying the existing account information and somehow spoofing/bypassing 2FA, is that really the bank's problem? They did their due diligence in verifying your identity. The phishing email you responded to literally gave the fraudster the keys to your paycheck.
Government should have less of an excuse. If someone fraudulently files a tax return in my name, that's a federal criminal matter between the IRS and the thief. Either investigate it or make it harder to commit. The problem is that the schemes are initiated from internet cafes in western Africa and eastern Europe and it's far easier to blame me and make it my problem than to perform international investigations and extradite from countries that we have poor relationships with.
Having just left that industry I'll give you that the preventative- and counter-measures implemented and sold to consumers are both a joke, but these are the fundamental problems they exist to mitigate.