Hello, I just purchased a Sennheiser MKH 416, an upgrade to my ME66.

What is the point of the removable cap? It annoyingly comes off when I pull it out of the windscreen. I'm afraid I'm going to lose it. Also, I don't see the point of it. What is underneath that I would even need to mess with?

It is not intended to be "removable" As you note, there is nothing underneath that requires access. Your microphone is (trivially) broken. You could send it back as "defective", or you could just use a touch of super-glue to hold it in place.

I'm baffled as to why the cap is so easily removable? It's only held on with friction. Why wouldn't it be permanently fixed if it wasn't intended to be removed?

It was not designed to be removable. There is something abnormal about your microphone. I have never heard of this problem from other users.

They do sell the cap as a replacement part.

I suppose I should return it then.

I have forgotten how the end cap was fixed on - it's definitely not intended to be easily removeable and replacements are available just in the case of damage and can be replaced by an expert.

If yours comes off easily, it is definitely a faulty mic. and you should return it for a replacement (if it's a new one, that is).

On most pencil type mics the end cap is threaded on, (via very fine threads). I have had the end caps off of few Sony and ATs. Don't know how the cap on the 416 is attached, I am not going get out the pliers to find out.