Added sconces to switched outlet run and made the outlets always hot, what do I do with the last outlet?
You can leave the red wire capped off in the last box as long as you make sure the cap is on secure. You also have the option of wrapping the cap and end of the wire with some electrical tape.

You say the red wire has nothing connected to it but I am going to guess that is not really the case. Somewhere along the circuit you should have connected into this red wire to branch off to your switchable sconce/reading light. The red wire should also be the one connecting into one side of the dimmer switch.