Hmm, I always lubed the threads, to ensure they come out easily when the time comes. Anti-seize is probably best, but I use whatever's handy, such as grease or a med-heavy oil. Never had one come loose accidentally. As a mechanic working on other people's bikes, I've found them seized up too badly to extract non-destructively, so I'm twice shy about preventing them seizing. I note the OP's cap is already slightly damaged in the hex-key hole, so we want to keep the torque there as low as possible. I thread them in barely more than finger-tight.

The cap in the original pic appears to not be stamped with the Nervar name. All the ones I have (about 4 caps, maybe more) have the name stamped in. Makes me wonder if this was a "private label" or house brand crank that Nervar made for another company.