Yes, in most designs the last PS cap is in the signal path, because the signal path is not isolated from the PS current path. The PS caps are still there in a parafeed type design, but they are isolated from the signal path by the circuit design. For example, a constant current source (CCS) supplying the plate voltage will have an almost infinite AC impedance, meaning that the signal can't get through it (high power supply isolation in other words) - a resistor does not even come close to that, and so a good portion of the signal will pass back through it. What you end up with in the parafeed design is two current loops, one for the signal and another for the power supply, instead of having them commingled.
This is a bit of a complex subject, and in order to understand it you will need to read up on CCS theory, plate chokes, parafeed topology, and general amplifier circuit design (as I did). The DIYAudio tube forum is a good place to start.