No, if a Legion's Target is placed on The Capital because all players already have Targets, the Target stays on The Capital for the rest of the game and does not retarget to a player's Haven later, even if one becomes available.

This is supported by the following rule:

• "If every player already has a Target and a new Legion is placed, place its Target on The Capital. Targets on The Capital stay there for the rest of the game - the Legion wil activate normaly but wil not move out from the Capital."
  (page 47)

There is no rule indicating that a Target on The Capital can be moved to a player’s Haven later. The retargeting rules only apply if the Target was originally on a Haven and that Haven is removed:

• "If a Haven with a Target is removed by any effect, and the Legion is stil in play, the Legion wil stil try to root out the uprising of that faction. If there are more Havens of that faction on the map, place the Target on one that has the fewest Units. If the faction has no other Haven, then place the Target on The Capital."
  (page 47)

Summary:
Once a Legion’s Target is placed on The Capital due to all players already having Targets, it remains there permanently and does not retarget to a player’s Haven later.

Source: page 47

Source: Core Rulebook (pp. 21, 47, 52, 54, 60)