From my experience there isn't any reason to take the cap off, unless for an oil change.
At 34,000 miles the car uses next to no oil, it drops about 10% of the dipstick measuring section over 5000 miles...!
BUT, yes, do not drop the cap into the wing space. Worse case is wing off to get it out I'm told.
I agree, some sort of safety chain would make a lot of sense.
