There is no deploy:setup because originally the first deploy of a rails app was unique in setting up spinners, installing gems and starting mongrel daemons, etc - with the advent of bundler and passenger mod_rails, and friends this has largely gone away.
You can see the flow
capistranorb.com/documentation/getting-started/flow here which capistrano expects, and enforces, since deploy:setup was never called automatically, and only ever by hand, you can simply write a task deploy:setup yourself, and call it whenever you like. There was never any secret sauce behind deploy:setup, it is just so seldom needed now that we don't include it by default.
The deployment/hosting world is now so fragmented with chef, puppet, ansible, salt, docker, coreos, rocket, xen, lxd, lxc, where would one even know where to start?