In preparation for my video review of the Cohiba Lanceros for the 2017 Xmas Sampler Series, I researched pigtail caps on Cuban Cigars. I was unable to find a definitive reference on-line as to why or which cigars have a pigtail cap, but looking at the list below it's safe to infer some reasons...
The following Habanos cigars have (or had prior to discontinuation) pigtail caps:
Cohiba Lanceros
Cohiba Coronas Especiales
Montecristo Especial
Montecristo Especiales No.2
ALL Trinidad vitolas including the Fundadores and special releases such as the 2016 Topes Limi