I'm not going to lie, In one muzzle loader I had, I couldn't get it to group well at all with loose powder. 4-5" groups with Pyrodex. With the same bullet, sabots, and 2 Pyrodex pellets it started shooting right around 1"-1.5" groups. I never could figure it out.
In the one I have now, it shoots the powder and pellets nearly identical. I can't tell a difference between the two other than the pellets are much easier to handle out in the field, and I don't have to worry about carrying a ton of stuff to the range to measure out the powder.
That said, I prefer pellets, and the only downside I've found is the price. Sometimes I shoot loose powder at the range just to save on costs.
As for the #11 caps, I also have had that issue, and I'm not a fan of #11 caps, although that's what the gun I have now takes, so it's what I have to use. The issue I have isn't that the cap doesn't ignite the powder, but that the cap doesn't go off on the first try. It usually will on the second.
I've not converted one to 209 primers, so I can't comment on how that will affect it.