You can run on the gulf without any issues. The water is usually very boater friendly, unlike the east coast.
Have your Garmin 182C all warmed up and ready to go. Captiva is a great place to go. Tween Waters by the pool and Tiki hut. Lots of restaurants and docking along most water ways. Not a lot of partying unless you go to Fort Myers Beach area in the evening (lites up after 11:00 pm)and want to bikini watch during the day. Everyting is casual.
On Fridays and Saturday nights go to the Promenade in Bonita (AJA's) or The Registry in Naples. Dress well.