Could be an expression problem on my part. Perhaps I should have written "less regulated" as opposed "more regulated" markets. There's a regulation that when you buy something you can't shoot the counterparty and take your money back in most parts of the world so yes clearly "wholly unregulated" is largely fiction. In the same way that a (fully) regulated market such as a soviet style command economy usually has more than a few loopholes. Eg inmates in prison have a market that is as tightly regulated as anything in the world yet they work around it and it seems nobody has ever succeeded in keeping the drug trade out of jails.

The regulatory capture you refer to is one of the downsides of over-regulation. De-regulating is not necessarily a panacea for regulatory capture. Sometimes the regulatory body that has been captured has power of regulation that is in some way completely necessary and that is use as an excuse to institute an abusive barrier to entry or similar. Or just regulated to grow the career, influence & power of the persons who are charged with advising and enforcing the regulation.

Whether two people looking carefully and sensibly at a market see it the opposite way, one as over-regulated the other as under-regulated can be largely ideological and a good faith disagreement, both of whom can achieve a better understanding and policy prescription through sensible exchange of ideas - especially with regards important details like enforcement, corruption, abusive practice that is or could happen etc.. There isn't nearly enough of that about.

There's lots of different markets around the world in different goods and services.

If you are sufficiently purist, none of them is free or unregulated. But they are regulated in different ways and to different degrees.

You can learn a lot by observing how these varying degrees impact outcomes.