During the startup transient, after the power supply comes online but before the shunt regulator pulls the voltage down, there will be a high voltage on the capacitor. No, I have not put it on a recording scope to evaluate exactly what the peak voltage will be, not have I done transient simulations. I just specified a cap I know will be more than adequate (630v rating). But the peak voltage could easily be at least 400 volts. Many caps can withstand a higher voltage for a few moments, sometimes listed as a surge rating. But I would not take the chance unless you are so wealthy that if they are damaged you can throw them away and try something else. How much are 1.0uF V-caps again? Per pair? :^)
If the cap fails, it is likely to put a high voltage on the output, which might take out downstream components - preamp, power amp, speaker. Count those into the wealth requirement above. :^) <<-- some humor intended!