"My experience has been the opposite…. with the cap 2 layered under the Cap 4, I am a quite bit warmer than when wearing the Cap 4 next to skin. The Cap 2 fits pretty close, as does the Cap 4, so trapped air is still there."
If you are sweating heavily, the air space between you and the Cap 2 and in the Cap 2 will be taken up by water and then it will become much cooler on the skin.
With Cap 4 directly on skin, no matter how heavily you sweat with it having so much void space, there will still be plenty of stilled air space, thus providing more warmth and comfort when you are sweating heavily. To get this to maximum effect, it's best to wear a slightly loose Cap 4 hoody.
This is basic physics, and why thicker fishnet is fairly popular in the Scandinavian countries and the go to baselayer of the Norwegian army. It's a similar principle used with a different fabric. I also have used Polypropylene fishnet as a baselayer, and with a thin, very well wicking layer right on top of the PP, it works just about as well as the Cap 4 but builds up stink faster.
Ultimately though, in most regular and non extreme conditions, it appears to be more a comfort thing overall. Richard Nisley tested the effects of different baselayers (including fishnet) on body core temps during and after exertion levels similar to bacpacking and found that core body temps were the same for different baselayers/fabrics. However, he noted that perceived comfort level was different. This indicates to me that the body is fairly adaptable.
I don't know what the conditions of the testing were though. If you add more extreme conditions like cold rain, extreme cold, etc it may possibly become more important.
Anyways, the reason why Polartec designed Polartec Power Dry High Efficiency high void grid fleece baselayer fabric the way they did, was for the reasons and physics i have hopefully clearly outlined. Subjective experience can be affected by many, many variables.