Quote: Surely in the power supply they cannot make much difference ?
I am sceptical myself.

You're right to be sceptical of all 'golden ear" claims. However if you draw an "equivalent" circuit of any amplifier, you will see that the power supply shows as being in series with the load. In other words, the signal return from the speaker goes through the power supply. This means that you should choose ps components as carefully as you would for example speaker crossover components or any other component in the signal path.
Two more points:
1. You don't need expensive caps, nor the exact capacitive value to test your theory. Hang the cheapest on temporarily.
2. I personally wouldn't spend anything on equipment of that era...

J