The test \IfNoValueTF is never true when the argument you refer to is declared as O, but only with o.
I suggest a change in syntax, because two optional arguments in a row are difficult to manage. Moreover, your argument #1 is assumed to be not empty, given the code.
\documentclass[11pt,a4paper]{article}\usepackage[T1]{fontenc}\usepackage[utf8]{inputenc}\usepackage[italian]{babel}\usepackage{amsmath}\usepackage{caption,float}\usepackage{xparse}\DeclareCaptionType{mycapequ}[][List of equations]\captionsetup[mycapequ]{labelformat=empty,textfont={bf,it}} \numberwithin{equation}{section}\NewDocumentCommand{\myeq}{ o m o }{% \IfNoValueTF{#3}{% %IF CAPTION {#3} IS EMPTY \begin{equation} \IfValueT{#1}{\label{eq:#1}} #2 \end{equation} }{% %IF CAPTION {#3} IS NOT EMPTY \begin{mycapequ}[H] \setlength{\abovecaptionskip}{0pt}% \begin{equation} \IfValueT{#1}{\label{eq:#1}} #2 \end{equation} \caption{{#3}} \end{mycapequ} }}\begin{document}\myeq{U\left(S,V,N\right)=TS-pV+\mu N}[Forma finita di Eulero]text\myeq[y]{\sideset{_{(ir)rev}}{}\oint \frac{\delta Q}{T}\le 0}text and reference~\ref{eq:y}\end{document}
However, I'd prefer something like
\documentclass[11pt,a4paper]{article}\usepackage[T1]{fontenc}\usepackage[utf8]{inputenc}\usepackage[italian]{babel}\usepackage{amsmath}\usepackage{xparse}\numberwithin{equation}{section}\NewDocumentCommand{\myeq}{ o m o }{% \IfNoValueTF{#3}{% %IF CAPTION {#3} IS EMPTY \begin{equation} \IfValueT{#1}{\label{eq:#1}} #2 \end{equation} }{% %IF CAPTION {#3} IS NOT EMPTY \begin{gather} \IfValueT{#1}{\label{eq:#1}} #2\\ \textbf{\itshape #3}\notag \end{gather} }}\begin{document}text\myeq{U\left(S,V,N\right)=TS-pV+\mu N}[Forma finita di Eulero]text\myeq[y]{\sideset{_{(ir)rev}}{}\oint \frac{\delta Q}{T}\le 0}text and reference~\ref{eq:y}\end{document}so you have no float problem.