They felt the battle should be fought in the "real world".
While the other captains might acknowledge — and may even be impressed by — Neo's feats in the Matrix, they would likely feel that the battle against the machines would be most successful in the "real world".
At least initially, there would be no reason for them to believe that Neo defeating agents in the Matrix would have any measurable benefit towards the security of Zion.
I believe this is best expressed by Commander Lock during his conversation with Morpheus in Reloaded:
MORPHEUS: Commander, we need a presence inside the Matrix to await contact from the Oracle.
LOCK: I don't want to hear that shit! I don't care about Oracles or prophecies or Messiahs. I care about one thing: stopping that army from destroying this city, and to do that I need soldiers to obey my orders.