Caps are used in crossovers as part of a filter circuit with resistors and inductors. Used on tweeters alone as protection from low frequency signals (The cap becomes saturated and keeps current from dumping through the tweet if the signal is to low).
Think of it this way, Caps and inductors act as opposites. Caps eat low frequencies, Inductors/Inductor circuits eat high requencies. By combining the two you can control what frequencies can pass through to each speaker and the amplitude