A lot of plastics melt around 350-550 degrees, so I’d be removing it, pronto. Also, the last thing you need is something accumulating debris INSIDE the engine — a plugged rad is annoying, but kinda’ functional whereas a plugged engine is disastrous. I’d remove it and not think twice. My guess is same as yours — preventing foreign object intrusion for shipping or such. Though most I’ve seen use a solid orange cap with lip for that purpose…