1.This is a polygonal extrusion without capping.
2.To cap the extrusion we have to select the surrounding edges of the hole,it could be done for several holes at the same time.Here, I have selected the bottom and the upper edges where my caps will be.
3.Then press CTRL+D to duplicate that edges, and from the "SELECT" menu use "Select Adjacent / Points" to convert the edge selection to points.
4.Now use "Modify / Poly. Mesh / Dissolve Components" to create the caps.And Thats All now our polygonal object have two pretty caps.
5.Try this in something like this and then apply a mesh subdivision , it works pretty well.