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@gbj_tester
Bullshit²
On a steel BMX fork, with a heavy duty BMX stem, the steerer clamp is very stiff and can be done up pretty tight, so it's not going to walk up the steerer tube.
On a carbon fork with a light stem, things are a little different, and keeping the headset cap in place does help to prevent the headset preload from going out of adjustment during use. The sequence is
1: adjust headset preload, typically applying about 2Nm torque to the adjuster
2: tighten steerer clamp on stem to 5-6Nm and double check headset adjustment
3: tighten adjuster to 5-6Nm to keep it all tight.
If your bike is just for hanging on scale for the purposes of Weight Weenie bragging rights, it's OK to leave the cap/plug/expander/adjuster thing off, but once you start hauling on the bars, you'll soon realise why it's a good idea to leave it in place for actual riding.