As far as I can tell, it's a type of currency. You can buy traps and devices in the town from one of the NPC's and carry them with you into dungeons by placing them on the taskbar looking thing at the bottom of the screen (Open your inventory, drag an item and drop it on a slot to place it there.) Supplies is the currency you use to determine how many devices and traps you can place, it can only be increased by putting points into INT, but I don't think the system is fully implemented yet.
iamnuff The goblin capture doesn't unlock anything.
When you capture girls there's only like a 50% chance they'll be in the prison, and some of them can't be captured at all. The trash mobs can be captured, but you have to fuck them to death for that to happen.
As far as content goes, you unlock more dungeons by clearing the first few (bandit -> bandit camp -> bunny -> goblins -> ludas' lair -> futa floor -> woods) and the SOS missions.
And yea the game speed is pretty terrible.