Cool. I'm glad that it was something easy to fix like that and not something wrong with the unit itself. No reason to feel like an idiot! Plenty of people have done that, I'm sure - I don't think that I've seen a package for those cables yet that says to take those caps off.
There aren't any real pros or cons that come to mind, but I'm not familiar with either your TV or that cable box. If you always watch TV using that box, then I'd say hook the box up to the Yamaha - might as well have a direct feed. You could always try both and see if there's a difference, though.