Capitalism is eventually better for collections than Monarchy. If you have very high happiness and a lot of citizens, and you don't have a perfect (GRL + 1) environment with Monarchy, Capitalism may be a better option (it is for me). That being said, Democracy should be better than Capitalism unless you have some ridiculous amount of land and very little infrastructure.
As for Federalist v. Capitalism for bills, I don't think it really makes a difference... personally I use Capitalism because if I were to get DoW'd during a back collect I'd rather collect with Capitalism than Federalism before I switch to Communism.
Also, Dictatorship can be better for bills/infra if you have a huge military. If you have a huge navy, tanks, and a full complement of nukes you should see which is better.