I just visited KL last week and from among your choices, Capitol is easily the best-located hotel because of its Bukit Bintang address (literally in the middle of both shopping and good food). Coronade would be the next nearest. On the other hand, Dorsett Regency is a bit on the far end of this area so you really need to do some legwork before reaching the said areas plus the monorail.
The rooms at Capitol, though, are relatively smaller than the other two. However, their deluxe rooms in the high floors have complimentary (non-alcoholic) mini-bar plus a great view of the Petronas Towers.
By the way, I stayed at Crowne Plaza Mutiara which is just a 10-minute walk from the Bukit Bintang area. Excellent accomodations, topnotch service, great breakfast buffet and almost brand-new facilities - all at a great rate of USD60/night for their weekend special. :)