President Madison may have left the columns unfinished because he was uncertain as to how to finish them.  Because monumental columns were novel architectural elements in ca. 1797, it appears no one knew the best way to cover the underlying brickwork and Madison even writes a letter asking Jefferson for his thoughts in 1800.  The columns would remain unfinished until President Madison started his ca. 1812 renovations and additions to Montpelier.  Eventually he would cover them with a thin layer of plaster and whitewash, which is how visitors to Montpelier see them today.