Capped Water Heater Pressure Relief Extension Pipe
The temperature and pressure relief valve, and any piping it is connected to (copper or CPVC only, at least 3/4" ID), should never be blocked, capped, or obstructed. You should remove that cap because, as you correctly surmised, it is a danger if the T&amp;P valve were to open. A simple tubing cutter like the one shown below will work just fine to cut that cap off.



A note on your install, or at least the install depicted in the picture - the T&amp;P discharge pipe should not terminate inside the drain pan. It should terminate no more than 6" above a properly-sized floor drain, or outside (unless freezing is a concern, then you should drain it inside).

Your water heater manual specifies all of these instructions as well.