When I think of an outfit for my captain, I do not necessarily think of heavy armour. I know that captains do take hits and carry their load of off-tank duties, but their role is very much focused on supporting the other classes and I think a medium armour outfit suits that role very well.

Since Update 6 we are able to purchase the Helegrod raid sets as cosmetics. They are sold at the Skirmish camp Cosmetics Vendor for medallions and marks. If you are at level cap and regularly raid or do instances, then acquiring medallions is no big deal. However if you are mostly a solo player, acquiring medallions can be a real pain. In other words, these cosmetics are expensive or cheap depending on your play style.
The gloves are a selectable quest reward from the Lone Lands. There are several of such similar gloves offered as quest rewards in the Lone Lands, all with unique appearances. I have about three different kind of gloves from that region with appearances that I have never found anywhere else.

If you want to know where a certain armour piece or cosmetic comes from, you can look it up on Lotro Wiki, by typing its name into the search box. You can equip any piece of armour cosmetically through the wardrobe, even armour that is not meant for your class or level.

Head: Extravagant Festival Cap, burgundy dye (Yule Festival quest reward -helping the rich-)
Chest : Ceremonial Spear-shaker’s Jacket, white dye (skirmish camp barter, Helegrod medium cosmetic)
Shoulders: Embroidered Mantle of the Dunland Healer, burgundy dye (Dunland quest reward)
Hands: Munce’s Gauntlets, burgundy dye (quest reward from Hunters become prey, light armour)
Legs: Ceremonial Spear-shaker’s Leggings, burgundy dye (skirmish camp barter, Helegrod medium cosmetic)
Feet: Pathfinder’s Boots, burgundy dye (Moria medallions reward, medium armour barter)