Not really obvious, since the screenshot only shows rendered geometry. It does not show the collision geometry. Turn on physx debug rendering, and do another screenshot. Then it will be obvious.
My best guess it that you have aligned the visible capsule along the z-axis. Your blender screenshots don’t reveral what axis is up, so making random guesses is verything I can do. PhysCapsuleShape is aligned along the y-axis.
If this is true then you have two options. Both ways work fine:
1.) either rotate the PhysCapsuleShape by setting a local transform.
2.) or rotate your visible geometry in Blender, then export again.
enn0x