No, Massdrop won't have the best caps. They sometimes offer "pretty" caps from Signature Plastics, but they're not the only source for that (see, e.g., 7bit's Round 5+ @ Deskthority), which features sculpted SA sets for the ErgoDox among other things).
I recommend getting individual DCS keycaps (probably from Pimp My Keyboard) in a configuration similar to whatever is on ErgoDox EZ. It's reasonably sculpted, but very thin among other issues. Personally, I prefer to make my own sets from harvested thick Cherry Corp.'s keycaps.