Depends on a number of factors. If you suck as Medic, like me, you play Pyro to cap flags. If your team has skilled Medics/Scouts but have problems navigating through the D, an O Pyro can jump in first and annoy/kill the Defense, letting the Medics/Scouts get past and hopefully get the flag. Some Demomen get nervous when on fire and try to kill you with grellow pipes, leaving the flag alone, for instance. However, a lone Pyro has way less options to cap the flag than a Medic alone.
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