For what it is worth, providing the holes are sufficiently large, 0.04mm will not make much difference on a 2.5 mm pitch component.
If you are really desperate to have imperial pitch size, use the nearest metric part you can find, set the center at 1.25mm from either pad, then switch to imperial settings, and move the pads to sit 0.1" either side of the centre. Similar reasoning applies to 5.08, 10.16 pitches etc.
Save them to your own library, maybe Capacitors_Imperial? The 3D will not be quite right, but at least the board and devices are guaranteed to fit each other.
In practice it only really becomes an issue with large pitch errors such as 20 pin SIL headers. They do need to be on 0.1" pitch, as the error over 20 pins becomes 0.76mm by pin 20. However most common connectors are given in 2.54 pitch or 2.5, 5.08 or 5 etc in the libraries.