Each type of capacitor has a specific frequency response and voltage related distortion.
It should stand to reason that better constructed capacitors should have a better frequency response and less distortion. Whether you can hear the difference in reality or it is simply a fresh capacitor not being run in yet that sounds different I do not know for sure. But it seems in my case there was an improvement in frequency response and lower distortion replacing the cheap factory caps with one of better and different material construction.
In this article the title seems to take the opposite opinion but have a read thru and there is some information that at least confirms capacitor construction does impact sound quality.