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Mainly trade. Port cities are major economic hubs. Risky? Sure, but the access is (usually) worth it. And fwiw, most countries don’t anticipate being bombed at random by senile billionaire pedos.
Also, kinda hard to just up and move a capital. Just ask Patrick Star after he dealt with that Alaskan Bull Worm (which I’d prefer over trump btw).
It's not at all uncommon for major cities to be on or near bodies of water, eg London, LA, NYC, Sydney, Tokyo, Rio, etc. It's a facilitator to (and outcome of) trade/travel and also can be a source of food and water (for cities on rivers/lakes, obviously).
And it's also not uncommon for major cities to become capital cities.
Not really surprising that as a country with one coastline, they have their capital so close to the sea.
As opposed to the US which has a famously inland capital. :P
Washington is more or less centrally located given the scope of the original colonies. Not given the current scope of the United States.
It was centrally located for the time, but it was still established with the idea it would have coastal access.
And it was a decent location that followed the European model of having the capital not on the coast but inland enough to defend. Caracas matches that location as well.
Moving the capital is a major logistical hurdle in peace or war.
In war, it is usually a bad sign if a government has to abandon the capital. The only cases I can think of where a government had to abandon the capital but ended up winning the war was the United States in the War of 1812 and Mexico during the French installation of a Mexican king, both cases where the war ended in part because the war became too costly to the occupier and the occupied could trade massive amounts of land, someone Venezuela can't really do.
In peace, there is a massive amount of infrastructure that needs to be built to support the administration of a government. Germany chose to keep several government agencies in Bonn during unification given the large number of government buildings available. South Korea's attempt to move the capital to Sejong has been slow and has only moved some ministries. Indonesia and Egypt are having issues funding their relocation attempts. Venezuela, in contrast, is fucking broke.
Moving a capital isn't trivial.
Maduro's #1 concern was likely consolditating power internally, not external military hardening.
That being said, Venezuela has some hellishly mountainous jungle. If I was a despot, I'd say thats a pretty good country to hide in, kinda like Afganistan.
I don't think an invasion of the most powerfull army in the world is something you can really prepare for in most cases. It costs way too much money.