The fact that it's leaking means one of three things: the threads were not properly sealed, the cap wasn't threaded on tight enough, or the cap has a crack. My bet is on the first possibility.
You can try tightening the cap some more, but I doubt that will solve your problem: the cap would have to be rather loose for it to not have fully sealed (assuming the thread sealant was applied correctly). And if you over-tighten the fitting, you risk splitting the cap or stripping the copper threads.
I would recommend that you shut off the water supply, drain some water (so it doesn't flood out that pipe), remove the cap, and reapply thread sealant. Wrap three layers of good-quality PTFE tape clockwise (looking at the end) around the male threads (so the tape is pulled tighter as you thread the cap onto the male adapter). You can also apply pipe dope over the PTFE tape. Then thread the cap on firmly, but do not over-tighten.