> so that Capitalists never actually risk or lose money

If you think capitalists never lose money then you're not on this planet. Obviously money is lost all the time. There are lots of investors, lots of companies, and few winners. This is mad. Of course bailouts happen, and they're done by the state. Capitalism would let them fail.

> hundreds of huge Cathedrals all over Europe

In this case the church was the capitalist. They risked the capital that paid for the cathedral. Although it was fairly low risk, as building a cathedral is pretty well understood.

> Manhattan project? Taxpayer funded. Concorde? Taxpayer funded. Walking on the Moon? Taxpayer funded. What are you talking about.

In this case the state is the capitalist, although it's taking the money by force rather than with a risk/reward voluntary investment. The worker isn't doing this by him/herself.