This has nothing to do with Capture NX or any other software, but rather what the camera shows as being clipped versus what the raw data opens up as in the raw convertor.
When I set up a shot in the studio on a white, lit background, the camera typically shows "blinkies" in the positions and size as shown in this image. The aim is to make the background to be quite white. Too little light and it will appear gray and too much and there will be artifacts that wrap around the subject and cause the edges to wash out.
When I open the file in the raw converter, with the clipping indicator turned on, it looks like this:
That tells me that the camera is being very conservative when it indicates the highlights have been clipped. Canon, Sony, Fuji. Panasonic, etc. users tell me they find the same thing. Testing that I (and many others) have done suggests that one can overexpose by 1 to 1-1/2 stops in camera and still get a raw file that shows no clipping.
I know some photographers who will get a proper exposure reading (using an incident light meter) on the subject and who will then set the background lights 1 to 2 stops brighter than what the lighting on the subject is.