In some jurisdictions they receive special tax treatment, but they are income nonetheless.

For example, for the US, they are included in the "Adjusted Gross Income" calculated on a 1040 tax form, but the amount of tax on the income due to capital gains is calculated differently than the tax on wages.

If you look at section 3 of the paper (which goes over their methodology), they explicitly talk about capital income:

http://gabriel-zucman.eu/files/PSZ2017.pdf