Why should someone replace ALL the capacitors on old Tube equipment?

It seems that some people advocate that.

I understand that the electrolytic caps contain chemicals which decay
over time, from the chemicals corroding the metal parts. So,
electrolytic caps should always be replaced. But why replace the old
paper caps coated with wax? All they are, is metal foil and paper rolled
up, and as long as the wax is sealing them to keep out moisture, why
should they become defective?

And for that matter, what are the new ones made from? Aside from being
sealed inside of some sort of plastic (instead of wax), are they not the
exact same thing inside?

While this is not part of my original intent for this message, I want to
ask if anyone remembers the old oil filled electrolytic caps in the
1930's and 40's radios? I never understood what the oil did inside of
them. But what I do remember is having one of them "blow". *SCARY *****.
I plugged in some ancient chassis with those old oil filled caps, and
all of a sudden there was hot oil spraying all over me, from the tiny
hole in the top of it. After that, I always put a tin can over those
caps before plugging the device in. (or just replaced them). Those
seemed to almost always be bad. (Probably why they were not used to too
many years).