If you leave the cap on the paint gun then the paint is simply going to be impossible to remove from inside the cap. The paint on the fluid tip is also going to be almost impossible to get out. Over a period of time, this will cause your spray paint gun to become useless.
You should remove the cap and clean out any paint that is inside the cap. Clean off any paint that is on the fluid tip and any paint that is on the flow brush.
Pay real close attention to the tiny holes on the portion of the air cap that looks like horns. If those tiny little holes become clogged your air paint sprayer is ruined.