Hi,
Since no-one seems to want to quote a "rule", let me offer the opinion that it's really just a matter of the style you like best. Personally, I wouldn't capitalize every word.
Let me draw your attention to the suggestions earlier in the thread that this form of salutation is rarely used, except for "open"letters of reference.
I've provbably only written 'To whom it may concern' 3 or 4 times in the last 10 years, which is why I don't think about it in terms of "rules". Are you sure you are going to use it appropriately?
Best wishes, Clive