The capacitor will have a plastic covering - but if there is vibration e.g. from transporting the PC, or from vibration of the fan - then the plastic could be eroded by the pressure of the wire and the capacitor could be damaged.
It's very unlikely that there would be a problem, but theoetically it is possible. Unless the pressure on the capacitor is such that it is bending, then I probably wouldn't do anything about it. I used to use a Celeron held into a slot motherboard with bits of paper, so I'm used unorthodox solutions.