you don't caulk brick to allow the moisture to escape and plus it would look horrible.
If you don't caulk the capping to the brick and mortar you will have gaps everywhere since not all brick work runs perfectly in a vertical line. Bugs and all kinds of critters will find this attractive to build their nest and condos. Since we don't have actual pictures of your project and statement like "you don't caulk brick and it looks terrible" is ridiculous. When caulking brick most guys will go with something like OSI quad for white or colors since it's a heavier sealant than silicone and tends to be applied in a nicer bead that wouldn't require tooling. Silicone is this application (size bead) especially if it's white or clear will get pretty dirty. For clear I recommend Geocel which stays very clean for a clear hybrid exterior sealant. Regardless, a good looking cap job and install can be wrecked by a bad caulk job!