I do like my Thread Art but I too have that problem. And sometimes the caps are not smooth and catch the thread. I check for smoothness and if cap comes off I leave it off.
I would just leave them off. Most of my spools do not have caps so I would think that they are not necessary .
That's true of my other spools of thread too-they don't have caps on them. Wonder why they even put caps on them?
I read they are there just to hold the thread end.