It is most likely because when iTunes opens, the shared volume hasn't been 'mounted'. iTunes goes crazy because it can't find it's library and it decides you need to look in the default location.
Direct attached external drives are easier to deal with than network attached storage for iTunes. This is especially true if you have set iTunes to auto Start.
Here's something that might help, although I think it is still possible that iTunes will try to auto start before the share is mounted...
Make sure your share is mounted - in Finder, click the time capsule under Shared. It may show you the shared folders (in which case they are already mounted and you can move on), or it may show "Connecting" for a few seconds before showing the shares.
After you have verified that you can see the shares...
Open System Preferences
Go to Accounts
Select the account that you normally login with (I guess that you can actually do this same thing for all accounts if you use more than one).
Click "Login Items"
Click the + button to add a new item - this will open a Finder like window.
Browse to Shared - Time Capsule and select the shared folder that you want iTunes to use. Click "Open"
A new Login Item has just been created that will go out and mount your share whenever you login.
As long as the mount is active when iTunes opens, it should retain your setting.
Note that I said "should" there...
There is some more advanced stuff that you can do with something called "symlinks", but I don't think you want to go there as a new Mac user.
Really, I would suggest getting a Direct Attached external drive (Firewire is better than USB) to store your iTunes media. The NAS thing sounds cool, but it's not just plug & play simple. Also, I personally don't think the Time Capsule is a very good NAS. It is great for Back Up through Time Machine, but that is a very specific use. Don't think that your iTunes library is backed up because it is on your Time Capsule - you are using it as Primary storage, not a Back-Up.