B&W 805S Embarassing Question

Nope. It is there for insulation. Loosen it and slip wire or spade under. Tighten.

Kal

Unless you are referring to the plastic caps used to block the holes where banana plugs are inserted. These are commonly found on many new speakers. If so, you can gently pry them off. If that doesn't work you may be able to completely remove the nut on the binding post and then remove the caps.
I encountered this on a pair of Polk Audio LSi7s.

B&W uses little plastic plugs to fill the banana plug holes. Just grab each with a pair of pliers and yank it out.

Kal

The plastic plugs are a European thing to prevent people from plugging their AC plugs (which have spaced round prongs much like bananas) into speaker terminals.

I think he is referencing the WBT shrouds...nothing new unless you have never been into high end before.

Here is a shot of the 805 Signature terminals.

http://www.setadelstudios.com/images_a/6260/3.jpg