[Arran]

 This isn't normally a concern with Philco sets because of the way they are wired, but one critical cap that should be replaced in many old radios is a tone correction capacitor across the primary of the output transformer. These caps can see as much as 900 to 1000 volt spikes across it, and if they short they can do real damage to the power supply. In Philco sets they typically connected a tone compensation cap between the plate of the power output tube, in series with a resistor, and then to the cathode of the audio output tube, so less danger there.
 The old timers talk this way because that was what was drilled into them 60-70 years ago, back then you could get away with it because the capacitors were 1/2 a century newer. Also back then if lets say you burned anything up you could got to your local parts jobber and pick up a replacement or order an exact part from G.E, RCA, or Philco, you can't do that anymore.
Regards
Arran