Nope. It is there for insulation. Loosen it and slip wire or spade under. Tighten.
Unless you are referring to the plastic caps used to block the holes where banana plugs are inserted. These are commonly found on many new speakers. If so, you can gently pry them off. If that doesn't work you may be able to completely remove the nut on the binding post and then remove the caps.
I encountered this on a pair of Polk Audio LSi7s.