The passive cooling set I ordered has 1 big and 2 medium heatsinks. Would it do any harm if I used the medium heatsink for the capacitor? For the Raspberry Pi B+ it should have been 1 big, 1 medium and 1 small heatsink to fit perfectly.
Firstly I would like to mention, capacitors generally don't require heatsinks and should have the ambient room temperature, unless you're using them in a totally unpredictable way.
Secondly, there's absolutely nothing wrong with using large heatsinks, but you ought to be careful about 1) heatsink touching other parts -- this might lead to shorts and permanent damage, and 2) heatsink falling off because of being too heavy and glue area being too small with subsequent shorts on the board and permanent damage.