Generally, what are the nuances of Spanish jefe vs. caudillo?

Specifically, which word would subordinates on a ship use to talk about their captain (or capitán) as their "leader"?

"Jefe" is the generic term for boss, supervisor, employer, etc., and may be used for direct speech (Sí, mi jefe) although it is less formal than using the actual rank of a person.

"Caudillo" is more of a political term often associated with dictator. It was used, e.g., to refer to the regional leaders of Argentina in the 19th century, who ruled over their "patria chica" through force and well-armed followers, even though the president at the time, Rosas, was also considered a national caudillo.