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So just checking this but pretty sure it cant be done.

I wanna run a power sword, plasma pistol and MC bolter (primarchs wrath) but it appears a captain can't do this right?

This model may replace its master-crafted boltgun with an item from the Pistols, Combi-weapons or Melee --- have to keep the MC bolter
Weapons lists. • This model may replace its chainsword with a storm shield, relic blade or an item from the Melee Weapons list --- Chainsword becomes power sword

So he's stuck with his bolt pistol right?!

also not seeing an option for him to take melta bombs either in the codex or faq.. ugh

You have it correct.