I'm with you Reb. Thing is, if this was happening with any regularity, there would be shooters running around all over the place with dinged thumbs. There would be articles in all the slick magazines about "cap thumbs". They would make it sound like the "M1 Thumb" that ya got from loading clips in the Garand.
In this neck of the woods, life revolves around rodeos. It is common to see men in the store, or on the street that have no right thumbs at all. When they rope a steer, and set the rope, they then dally it around the saddle horn, and if they catch their thumb under the rope, when the steer hits the end of the rope, it cuts their thumb off.
I have not met a black powder shooter yet that has a thumb damaged by a cap going off while loading. If it were all that common, the guys that really shoot would have notches blown in their thumbs, sorta like carpenters missing the ends of fingers from table saws.....or rodeo cowboys that are missing thumbs.
I am missing the end of a finger from a table saw, but I have not had a percussion cap go off while loading. I believe it could happen, but the likelyhood is about like your chances of winning the lottery.