I was sure Sheldon Brown argued they were useless once the tube was unfurled, but I can no longer find that quote. Lacking Sheldon's backing, I may have to reconsider my position as a Presta valve cap denier.
With a sharp instrument you can modify a (plastic) Presta cap to be a functional Schrader adapter, thus fill your fancy bike tire at a gas station. So I guess that's an argument to carry a sharp knife and mount your Presta caps.