OK I see what happened, you downloaded just the management engine update and that HAS to be executed from windows and contains no CAP file.
This is the latest zipped BIOS for your motherboard - if you unzip it the CAP file is in it.
http://dlcdnet.asus.com/pub/ASUS/mb/LGA1151/Z170_PRO_GAMING_AURA/Z170-PRO-GAMING-AURA-ASUS-3501.zip