As pointed out, you build an Industrial Capitol as opposed to just setting it.
You can also build them for Research, Economics, and Political (after researching the proper techs).
In the release version of 1.1, you will apparently be able to declare a specialization for each planet, which will result in an X% boost in production for the given choice. For example, you can declare a planet as a Military Production Planet, which will give you a 15% increase in military production on that planet. (purely made up numbers).
The plantary specialization isn't in place yet, it's just in the improvement notes for 1.1 at the moment.