Seems I have built everything in my capital but I don't see how to get more advanced units or spells? What am I missing? thanks!

If you're in the initial tutorial mission with your "mentor" then you won't be able to build anything beyond the first-tier buildings and units, and some of those will be unavailable as well.

It's possible (though unlikely) that you might gain access to a few more advanced units as a result of special events or dungeon loot, but those are one-time benefits.

Gaining full access to higher-quality buildings requires continuing through the campaign. Each new shard you conquer will usually provide access to a few new facilities and/or features.