The Wiki is quite unclear on the big picture.

Im attempting to test centralized control of multiple routerboard devices. I installed The Dude on Windows t0 but it wants to connect to 'the server' what server is meant here? Is there a server component the should be installed on a third device? Where can I find this?

The requirements state
CAPsMAN works on any RouterOS device from v6.11, wireless interfaces are not required (since it manages the wireless interfaces of CAPs)

CAPsMAN v2 is working starting from RouterOS v6.22rc7.

CAP device should have at least Level4 RouterOS license

I don't see a line on a server to be installed/

Did you go through wiki about The Dude? In section about installation it writes about server part being installed on Routerboard devices and client part being installed on Windows PC.

Server does need to be routerboard, but routeros on supported platforms. Beside some routerboards, it is also x86 or chr that both could be virtualised on pc.