What component is this (not a capacitor but looks like it)?

The marking looks like:

T1,25A250V

That fits with a Time delay (i.e. slow blow) 1.25A 250V fuse.

Assuming that it hasn't blown, it should measure as a (near) short-circuit when you use a multimeter to measure its resistance.

It is a fuse, rated at 1-1/4A 250VAC.

Specifically a slow-blow Littelfuse 372 series.