It's archaic. In modern English, he is come would instead be he has come or he has arrived. There's no real difference in meaning, but from the perspective of a modern English reader, he is come has an older feel to it. You'll probably find lots of archaisms in the translation you're reading.
Divine capitalization is the practice of capitalizing words which refer to the god that some Christians believe in. This practice has never been universal, and among those who follow it (or followed it historically), the precise set of words which are capitalized varies. So there isn't really a rule, but you can follow the practice of your favorite translation of the bible, if you like.