You should not cap it.
It is a thermal expansion valve, designed and installed to relieve the excess pressure that is created when a water heater heats the water in it's tank and the water expands. If it releases a shot of water as the water heater is operating, and at no other time, than it is doing it's job. If it is dripping continuously, then it is possible that the spring is weakening, or the rubber seal inside of it is deteriorating. It could also be a problem with the water heater.