In my opinion, and I am quite sure of this, there is no reason to leave the cap off. Just open the steam wand and put a rag under it. It will start to sputter and then sound like a deflating tire when the water begins to boil at a good pace. This is a good queue for you to shut the steam valve off and start preparing your drink.
At least, that's how I do it. I would not recommend leaving the cap off, on account that you run the risk of getting a steam burn while putting on the cap. Of course, it's not much of a risk and probably no problem at all, but I am sure there is no reason to leave the cap off--again, the wand will bleed false pressure just as well.




