I know lots of my friends do too, but look at it this way, it is the pressure, that causes the self bleed once engine is shut off, if the cap is on longer, ie whilst car is running it has more pressure.
Additionally some cars run near 100C anyway, so may well overheat the coolant before the fan kicks in, not good, the pressure is of course needed to raise the boiling point of the fluid.
Having the cap on will in no way at all hinder the air coming out, as some may think, as above if actually helps.
I would guess the cap off thing probably stems from older cars, where the cap was on the rad itself, you couldn't see the level so had to leave it off, or keep putting back taking off etc.
Different people have different ways, this is just mine.
tabetha