It's not just a cap; it is a metal connector with a 75 ohm resistor
inside it to act as a load when a TV is not connected to the outlet.
Splitters are designed for specific loads on the outputs. If a load
is missing, all kinds of ugly things happen such as reflections, huge
losses at some frequencies etc. etc. etc.

Thanks for explaining why we may need a "cap" on unused TV connectors
in a splitter. Currently, I only plan on replacing DirecTV with Dish
Network, and Dish Network will have four cables coming in to connect to
four receivers; this means there will not be any splitter involved, and
there will not be any unused connector. Therefore, I don't need to
worry about "cap" for now.

This info will become helpful if I later on decide to install a HDTV
antenna for getting off-the-air HDTV signal; in that case, I will need
to use a splitter to split video signal coming from the HDTV antenna,
and I will likely have some connectors in the splitter unused.

Jay Chan