Well yes I think they should be capped since you will still have vacuum coming through them. I have always wondered if a T connector with all three lines connected would still allow the 4X4 light to come on.
You may want to look at the instructions for this cable disconnect. It tells you what you need to do since vacuum is no longer being used to lock & unlock the front axle. http://www.4x4posi-lok.com/jeep_page.html
Yeah that's all nice and junk -- but it's far easier to get under there with a short length of hose and the engine at idle...
Shift the thing into 4wd and locate the tube that has vacuum -- now connect the short hose to the tube on the far end of the connector -- the dash 4x4 light should come on ! (if it doesn't try the other tube, it's been a while)... then CAP-OFF the qty=1 remaining tube.
You've restored the operation of your 4x4 light and don't have a vacuum leak ducted down to the UCA's body mount (not like THAT'D EVER get wet!)