Capture NX2 maintains the original file and all subsequent edit steps. At any time you can go back to the original NEF if it is only processes in Capture NX2 or Nikon View NX2.
When you make edits in Capture, there is a user setting that determines when edit steps are applied. Normally they are applied with each step so you can see what you are doing.
Within the original NEF file is a basic JPEG that is used to render the image shown in the LCD and display thumbnails. If you use Capture, that basic JPEG is replaced with a larger JPEG - thus the reason why the file size changes after an edit. Some programs - like Photo Mechanic - can extract a copy of this JPEG making for very quick JPEG creation.
Capture does not use sidecars or separate files or instructions that need to be attached to the file - there is a single file. If you have versions of edits in Capture, Capture can carry all of those edit steps as separate versions in the single edit file.
All of these programs have proprietary editing software, so it makes sense that other programs can't pick up those edits and interpret them. The Adobe programs do not pick up the Nikon supplied interpretation of the RAW data but rather apply their own version. Sunny daylight has different values in Photoshop and Capture. That can be an advantage for a particular product, or a disadvantage with compatibility.