Normally the steel lintels should not be capped with coil simply due to the fact that the steel and aluminum could potentially react to each other negatively. However, If a vinyl or composite trim is used it wouldnt be an issue.

The other drawback to covering the lintels is that if the lintel extends past or is flush with the brick edge, it may be hard to get a consistant silicone bead and cosmetically it may not look as nice -hence your silicone not smooth across the front edge of your brick in you photo.

Thank you @ohiowindoze. When Pella pointed it out to me before (when they installed my patio door), they said it should not be done for water drainage. I have a friend in the building industry and he agreed. Water may get trapped on the lintel and not be able to get out - therefore you may end up with water damage inside.

I do think it looks messier the way they've done it along the brick edge.

They are coming early this week to discuss with me. They seem like a company that will make it right. I hope.

I was hoping there was a definitive answer - right or wrong. Looks like it's not that easy.

The guys from Pella and your friend are right. The lentil above a window is not just to support the bricks it also acts as a Z flashing and weeps condensate water from behind the brick. When covered or sealed this condensate water will cause an accelerated rusting of the lentil and when the lentil rusts it expands and pushes up on the brick causing cracking in the brick. If you don't remove the covering this will lead to significant damage.

It is important to remove any caulk from between the top of the lentil and the brick

Short answer....do NOT cap brick/stone lintels.