It really comes down to the type of muzzleloader you are talking about.
A "traditional" flintlock or sidelock is going to ignite much more reliably, in most cases, with loose black powder (BP) when using a #11 cap or musket cap.
Many use substitute powders, such as pyrodex, with no issues.
The type of people here for the most part really like to do things as traditional as they can, just like the mountain men used to do. Yes most drive a modern vehicle to their hunting spot or range, but once there they want to experience shooting their traditional muzzleloader as our forefathers did. They want to use real BP, with either conicals and/or patched roundballs (PRB), with a traditional style lube and many with tools/materials they've made themselves.
There is a wealth of knowledge here that is freely shared if shooting a traditional muzzleloader is what you're interested in, especially PRB shooting.
If you are more after using a rifle that meets your state's muzzleloader regulations so you can get in some extra hunting with as little "hassle" of using a muzzleloader as possible, then the sister forum to this one, called "Modern Muzzleloaders", is going to have the info you seek. They talk about all the "unmentionables" that aren't talked about here, such as inlines, BH209, sabots, and shotgun primer ignition systems.
To directly answer your questions:
1. Cap and ball being preferable is really up to your own interests. I love shooting/hunting with patched RB, and only deviate once in a while to pure lead conicals, but that is where my own interest lies.
2. We aren't allowed to talk about sabots, but I'll say that your question depends on the type of powder you use. If it leaves a fair amount of fouling in the bore then loading a second one isn't going to be very fun unless you run a cleaning patch between shots (known as swabbing). Many shoot without swabbing with patched RB because the lubed patch helps keep the fouling soft so the next shot loads easily, and a good fitting patch and RB will also scrape the fouling off the barrel as you load each time. This keeps loading easier and also maintains barrel consistency from shot to shot.
3. I've never tried to use pellets and have no experience with them. I will say that I like to be able to easily vary my powder charge in certain situations and loose powder makes this easy to do with an adjustable powder measure.