Pitlock caps protect your Pitlock components from dirt and debris, and direct access. They also act as a visual completion for the skewers and plugs.
If your Pitlock skewers extend too far past the end of their lock housing, you may need to trim them slightly in order to accommodate these caps. This is fairly common, and can be done using either a hacksaw or Dremel tool. If using a Dremel, be careful not to overheat the skewers, as they may warp slightly.