(...) A small .01 uf Wima MKP-2 across it lets the 'air' out.
(...) But I'd think these differences would be tiny at audio frequencies.(...) I think the self-inductance of the larger cap is what necessitates the smaller "hi-freq bypass" cap.
And no matter how many caps, they still smear the signal, current leads voltage as much as 90 degrees in capacitors...