Caprichosa translates to "capricious" or "whimsical." It's a less common but very descriptive word that adds a unique flavor to the lyrics.
In the song, Julieta Venegas uses it to describe "Esa línea caprichosa que divide nuestro mundo" (That capricious line that divides our world). It personifies the dividing line as having a will of its own, acting on a whim, which makes the separation feel even more unfair and arbitrary, rather than a fixed, unchangeable barrier.
Julieta Venegas grew up in Tijuana, where the crossing is called la línea and nothing more, and the song keeps the word that plain. "Una línea nos separa desde hace tanto tiempo" (A line has separated us for so long): no wall, no politics, no names, just a line somebody drew that turned out to be strong enough to hold. She never says whether the two people kept apart are a couple or a mother and a child, and the song is bigger for it.
The second verse lets the despair have its say. "Esa línea tan amarga nos tiene sin salida" (That bitter line leaves us with no way out), "Nos hace pensar que esto es el fin" (It makes us think this is the end). Her answer is the flattest, most stubborn line she could have written: "Seguiré cantando" (I'll keep singing), repeated six times across the song with Yahritza Y Su Esencia beside her. The line that actually lands, though, is the quiet one in the last verse: "Cuando me separaron de ti" (When they separated me from you). Somebody else did that. She never says who, and she does not need to.