It all depends on if you are aiming for your car to OE correct. If you want to be accurate, you need to paint the assembly including the cap and bale wire. If you don't mind deviating a little bit, you can put a plated cap on it.
I've found if you are really careful, and use a couple screwdrivers, you can get the bale wire off the cap without scraping the paint. And if you scrape it slightly it is easy to touch it up with some black paint after you put the cap back on.
The other problem I've had, is brake fluid getting on the paint and lifting it. Not a problem if you use DOT 5, but with DOT 3 or 4 it is.