Captain enchantment only works if they're running to you, not away from you. So you'd have to stay ahead of them in a retreat. However, if the speed boost on W is not adequate to save them, Captain probably won't either. Not that Captain is bad for supports at all, but chances are you'd want Homeguard or Alacrity most of the time.
As for Kayle's supporting...it's not that good. Kayle is more a carry with some support utility than she is a pure support. Her heal and ult are not enough to really justify doing it, especially given her Q and E are damage steroids that you won't be able to use properly. But, if you must do it, you'll typically want Ionian boots. Berserker greaves would be the option for a normal Kayle, yes. But as a support, that attack speed is going to be wasted because you don't have the budget to afford actual damage items, since it's going to support stuff.
That's not to say you can't do it, because you can, and there are worse options. But at the same time, there are much better options out there as well. A good support champ is helpful to their team even with no items at all. Kayle is, but only to a point.