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.
5English is simply not the same today as it was when the King James Bible was written. – The Photon – 2013-11-15T05:33:37.443
2When He is come translates to When he is here in the sense of when he has arrived – Jim – 2013-11-15T06:27:28.777
What about the capitalization? – Maulik V – 2013-11-15T11:42:57.113
Different translators and publishers will have different standards regarding which words relating to God receive capitalization. There is no universally agreed-upon convention, either in Christian or secular circles, for pronoun capitalization relating to the Deity. (But such conventions might make a question suitable for Hermeneutics or Christianity. Ask on the site meta before posting though.) – Jonathan Garber – 2013-11-15T14:23:17.297
@snailboat. Yeah, I missed that... (the rule of 'what' identifies and 'which' selects). Thanks! – Maulik V – 2013-11-16T04:27:11.927