Frank answered his own question in the comments : to cap a shape constructed with the "screw modifier", you have to apply this modifier and cap the extremities manually.
But I allow myself to post an answer because the "screw modifier" behavior is a bit strange (at least I did not expected this).
Here from top to bottom :
- A open circle : all is normal but not capped
- A circle with one face (select all then F) : the face does not appear, and the smooth does not work anymore
- A circle with n faces (select all then extrude, scale to zero and remove doubles) : the edges are extruded by the modifier
For information, the screw tool of the tools panel in edit mode does not have the same behavior and allows face extrusion. So you can screw a plain circle and obtain directly a caped spiral.