Is there any way in Capture to emulate realistic cloudy sky (with a sun) and lake water?
Or do I need to learn Unreal Engine for this kind of magic?
Unfortunately, Capture does not support natively this functionality. There are users though that have made big spheres and attached relevant pictures to them with quite appealing results.
You can find so called Sky Domes with clouds on sites like 3dwarehouse. If you make them emit light, it can be quite convincing. Also panoramas that wrap around you scene are available, but this limits the possibility to pint the camera slightly up, because then you look over the edge of the image.