The improvement of properties in nanocomposites obtained by topochemical surface modification, e.g., acetylation, of the nanoparticles is often ascribed to improved compatibility between the nanoparticle and the matrix. It is not always clear however what is intended: specific interactions at the interface leading to increased adhesion or the miscibility between the nanoparticle and the polymer. In this work, it is demonstrated that acetylation of cellulose nanocrystals greatly improves mechanical properties of their nanocomposites with polycaprolactone. In addition, molecular dynamics simulations with a combination of potential of mean force calculations and computational alchemy are employed to analyze the surface energies between the two components. The work of adhesion between the two phases decreases with acetylation. It is discussed how acetylation can still contribute to the miscibility, which leads to a stricter use of the concept of compatibility. The integrated experimental-modeling toolbox used has wide applicability for assessing changes in the miscibility of polymer nanocomposites.