I bought a tefilin and it came without the plastic protective caps, it disqualifies somehow my tefilin
Congratulations on your new tefillin.
The tefillin are kosher and they may be used. The teffilin on the hand (shel yad) usually comes with a protective cover, but it is exactly that- only for protective purposes, and the tefillin are fine. Practically though see to it that you get the cover, because the corners of the shel yad can gets dented or rubbed out easily, which could ruin the tefillin.