What sort of captain doesnt realise you cant skydive from a 737.
With respect, whether you can parachute from a 737 or not is irrelevant.
Look at this way - supposed you have a loony on board who's planning something unpleasant but believes he can parachute out and escape to safety. Just because he's wrong doesn't eliminate the initial threat.
How do you tell the difference between an innocent parachutist making a careless comment and something potentially more serious?
Again, the problem is one of perception. It's the same situation as the guy who jokes about the bomb in his suitcase at security - even if it's obvious he doesn't pose a threat, do you just let it go?