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Source: Lockheed Martin press release: Boosters for Orion’s Launch Vehicle Arrive to Cape Canaveral, Image credit: NASA

In the above image you can see that the nozzles are not open; instead they are capped. My question is: why are they capped, and is the same applicable to all rocket stages?

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Those are "Remove Before Flight" covers. Things that are remove before flight all have that distinctive red color. So as noted in the answers, it's just for transport. – Mark Adler Mar 9 '14 at 13:00

Airplane engines, and rocket engines are usually transported with a cover on them.

The journey of a thousand miles begins with a single piece of unexpected debris. The covers try to protect them.

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A link to the relevant article:

From that article,

On Tuesday, March 4, two Delta IV Common Booster Cores (CBC’s) arrived at Port Canaveral aboard United Launch Alliance’s (ULA’s) Delta Mariner barge. The barge previously departed ULA’s Decatur, Alabama, manufacturing facility on Sunday, Feb. 23, and traveled along the Tennessee, Ohio and Mississippi Rivers prior to entering the Gulf of Mexico, rounding the Florida peninsula, and making its way northward along the Atlantic coast. … Upon arrival at the Port, the two CBC’s were transported to ULA’s Horizontal Integration Facility (HIF) at Space Launch Complex 37 (SLC-37) at Cape Canaveral Air Force Station (CCAFS).

That's a long journey. As the crow flies it's only 1000 km or so. As the barge moves, it's at least twice that. Storms can fling debris, and so can traffic on the short segments where the boosters were on the road as opposed to on a barge. Those are protective shrouds to prevent damage along the route from Decatur, Alabama to Cape Canaveral, Florida.

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