Original Commentary
It's been a while since we've last seen Caleb, but back then (in "Sofia's trip"), Caleb did not wear his bandana. So why is he wearing it now? Solidarity with the past? Because it just felt right? The real answer is simple, he's just Caleb. -Isabel

Modern Commentary
For background:

Caleb is the talented one. He's actually good at performing on stage, which is why he's got a full schedule and is making the kind of money that gets you a manager to handle all the details.

This is good because Caleb isn't a details guy. He's entirely self-absorbed; here he is ducking out of a conversation when the subject shifts away from him. - Terrence