I have the same problem, the candidate window when switching to chinese language doesn't show, I have read and its suppose that with Capitan the predictive feature for chinese language is better, so no need the candidate box, THIS IS NOT TRUE, since I tried to write in chinese ( pinyin) and the characters chosen by the system are all wrong and doesn't make any sense in the text I am writing, is not like when you are using a microsoft software to write chinese that predict the characters according to the sense of what you are writing, and actually even in these programs, you always have to choose between the options of characters when you write chinese.
I am impressed that no-one else has reported this bug before, and is really annoying , Mac is yet not very good with asian languages input features, and now is even worst, when they claim to make it better, actually is even worst, hope can fix this bug asap.
I am tired of upgrading my mac, and every time I have to spend a whole day trying to figure out how to fix problems that before the upgrade didn't happen. Kind of scares my when there is a new system upgrade.