The CO2 emission per kWh is of course coming from the power plant fuel. The figures given in the post (0.08 to 0.8 kg/kWh) depend on the percentage of electricity generated by fossil-fuel in the different countries.
Capacitors installed in order to improve the power factor reduce the line current and also the related power losses. Then, for the same “service”, less kWh are generated, and consequently, less kg of CO2 are produced.