We've sampled a number of oil filled caps over the years. I've not seen a type that didn't develop electrical leakage, although I'm sure they exist.
Electrical leakage is where the cap takes on some of the properties of a resistor- a voltage can be dropped across it. If a cap with this problem is placed in a circuit driving a tube or transistor, the voltage that will show up at its output will affect the operating point of the active device.
If that active device happens to be a power tube it could overheat and be damaged. It'd be a real shame if that was a $1200 211 or some such! In a loudspeaker this is likely of no consequence.
Being an OTL manufacturer we had to demonstrate that our amps were really reliable, since the Futterman and other amps prior to our showing up hadn't been so good in this department. So we had the nearly Sisyphean task of convincing the market that OTLs could be as reliable as any other amp. For that reason we simple didn't and don't use oil filled caps.