The first time I saw this I was at a pre-race inspection for the XRRA. They insisted that all lug nuts be "uncapped" so that a visual inspection could be performed at any time. It also prevents any build up of dirt from staying inside the lug. So I grinded off the cap and cleaned up the threads and re-installed.
Now when my OCD kicks in I just have to glance at the stud to see if anything has loosened up.