The above game appears in many books.
Lasker from more than several books, and articles in Chess Life & Review played the exchange variation against Capablanca.
I have to imagine that Lasker was aware that Capablanca on the White side played the exchange variation against Bernstein in the same Tournament.
The exchange variation of the Ruy can transpose to the 4 Knights, which at the time was called the Work Horse by Tarrasch.
Lasker also knew in 1914 that Capablanca was a future challenger for the World Title. But WWI changed matters.
An improvement on Black's play turned up after WWI in the Schlechter-Rubinstein match.
An interesting aspect of Lasker was that in one tournament he should have lost 5 games, but he won 4 of them. See Chess Master probably CM 10 chess learning feature, advanced.
Fine recommended that Capablanca should have played 9-; Bd7 rather than 0-0. See Petersen-Alekhine Orebro 1935. After the moves in the game in question, White stood better after 14. (Fine).
Also note that Fine in PCO indicated that 5. 0-0 is weak due to Black's answer Bg4! if 6. h3 then h5. (Fischer later on disagreed).
Now if Black played Bg4? after 5. d4 see the game Lasker-Marshall 1924.
What is being pointed out here is that at time the variation was played if either White or Black varied from known variations of the exchange variation it was quite dangerous.
Prior to the game in question -
Verlinsky-Tereshchenk 1909 went 7-; Bd6 8. NC3 Ne7 10. f3 0-0 11.0-0-0
Reti-Schlechter St. Petersburg 1914 probably a predecessor to the Lasker - Capablanca game where Black won.
Schlechter did play 9-; Bd7 10. f4 0-0-0.
Note that Capablanca (Black) against Banks 1916, played the same early moves as in Lasker-Capablanca. But Banks was no Lasker and lost.
The Idea of the Exchange:
Because Black has a doubled pawn, the player on the White wants an endgame where the edge is on the King side in pawn, 4x3.
On the Queen side because Black has doubled pawns the count is 3 pawns against 3 pawns (as Black has a doubled pawn).
If all the pieces except for the Kings and pawns are removed, White would have the edge.
However Black has the two Bishop as compensation.
Fischer found that 5.0-0 does work for the first player.
[Event "Havana ol (Men) fin-A"]
[Site "Havana"]
[Date "1966.10.25"]
[Round "13"]
[White "Fischer,Robert James"]
[Black "Jimenez Zerquera,Eleazar"]
[Result "1-0"]
[Eco "C69"]
1.e4 e5 2.Nf3 Nc6 3.Bb5 a6 4.Bxc6 dxc6 5.0-0 f6 6.d4 Bg4 7.c3 exd4 8.cxd4 Qd7
9.h3 Bh5 10.Ne5 Bxd1 11.Nxd7 Kxd7 12.Rxd1 Re8 13.f3 Ne7 14.Nc3 Kc8 15.Be3 f5 16.Rac1 fxe4
17.fxe4 g6 18.Bf4 Bg7 19.d5 Rd8 20.Na4 Rhf8 21.g3 g5 22.Bxg5 Rf7 23.Kg2 cxd5 24.exd5 Kb8
25.Re1 Bf8 26.Rf1 Rg7 27.Bf6 Rg8 28.Rce1 Re8 29.d6 cxd6 30.Bxe7 Bxe7 31.Rf7 1-0