About the "placebo effect": on a discussion about capacitor types on an electronics forum a guy joined in who said he was an engineer for a big capacitor company, and he addressed some of the issues that exist with signal transmission in capacitors, mainly:
1) Variations in amplitude (volume) across the frequeny spectrum. No material on earth has a perfectly even resistance across the frequency spectrum, so there will be signal coloring.
For example, one of two common orange drops types (715 or 716), clearly accentuates the highs more than the other (I forget which is the brighter one). They are the exact same type, but one is rolled up into a cilincer and the other is a slightly squashed cilinder, which means the thickness of the dielectric varies across the shape of the cap, as well as inner pressure on the dielectric, causing a difference in signal transmission between the two types. One of the two is brighter and it's quite noticeable when used as a coupler or a cathode cap in an overdriven guitar amp gain stage.
2) Uneven variations in phase shifts across the frequeny spectrum.
Our brains are experts at detecting phase shifts in sounds, as it is how we perceive whether a sound is distant or near (regardless the volume), and whether a sound is approaching or moving away from us. So if you think one cap sounds more "open" and the other more "focused", that's likely not your imagination.
The factors that cause these distortions include but are not limited to:
The inherent frequency characteristics of the used dielectric, anode, cathode materials.
Microscopic vibrations that originate from electrons moving back and forth in the dielectric medium affecting certain frequencies within the signal.
Uneven resistance, inductance, stray currents etc. across the frequeny spectrum.
Uneven thickness of the dielectric across the capacitor.
Pressure cause by tightly rolling up the capacitor, etc.
These things all color the sound but aren't considered destructive because (within audio range) the effect is just that: a coloring. However, these imperfections do play a significant, deleterious role in high-frequency ultrasonic applications and so it's a topic of much technological and scientific research.