This is exactly how it should be. Allowing CAP_SETPCAP is crackful security-wise, since it allows root processes to randomly increase the privileges of other processes (violating a golden rule of security). Thus you potentially lose the enforcing of privilege restrictions.
$ uname -r
2.6.24-2-generic
0 martin@donald:~$ sudo getpcaps 1
Capabilities for `1': =ep cap_setpcap-e
This is exactly how it should be. Allowing CAP_SETPCAP is crackful security-wise, since it allows root processes to randomly increase the privileges of other processes (violating a golden rule of security). Thus you potentially lose the enforcing of privilege restrictions.