The manual says that when a dropping resistor is used between B+ and the C4S board, a bypass cap at the input can reduce power supply noise. This is true regardless of whether you use an active load or not.
The reference would go back to figure 4 which has a value of R3 specified. A 100uF cap presents 13 ohms of reactance at 120Hz, this forms an AC voltage divider with the 12K resistor and provides -60dB of attenuation at 120Hz.
Whether or not this is worth it depends entirely on the level of power supply noise you are experiencing without the capacitor in place. For example, the SEX amp has an extra RC filter for the first stage of each channel that's helpful with the stock 150K resistive load, but perhaps not entirely necessary with the C4S installed. For our more modern circuitry where lower level amplification takes place, the power supply is shunt regulated and there just isn't a lot in the way of power supply ripple left to filter out with such an arrangement.
