I've often wondered if that idea started out as an RC snubber and someone took out the resistors to save money.Some audio power supplies I've seen have small (e.g. 100nF) ceramic caps across each bridge rectifier to suppress the switching spike that can occur when the rectifier suddenly stops conducting each half cycle.
There is a fallacy that a massive transformer and massive capacitors make a better pre-amp power supply, but all you get is massive pulse currents in the diodes which radiate magnetic field.




