sorry I did not explain myself well enough, I used to teach a course at a private college on power supply design and covered this exact arrangement. an initial schematic that was posted outlined that this is a CLC supply filter or capacitor, inductor, capacitor filter. When a capacitor is the first filter device used to filter AC it will see the most reactance and therefor boost voltage, hence the transformers secondary voltage multiplied by 1.414 to get your B+. This is at a cost though, it will cause a large spike in current when it initially charges upon power up causing stress on the rectifier as well your current capability will be reduced. Your current multiplier in this arrangement is .62. The schematic outlines 300uf and this is huge to a 5au4 or the like. If you removed the first cap you would have an inductor first in the power supply filter and now this would see the most reactance therefor it changes the entire filter characteristics of the design. right off the bat your filter now becomes a LC filter and your secondary transformer voltage will now be multiplied by .90 but your current is increased from a factor of .62 to a factor of .94, considerably more current available albeit at a cost to your B+ which now would be about 30% less. Because the inductive loaded filter inherently regulates current it acts as a current limiting device upon power up which will limit the current inrush to charge the capacitor that sits after it in the filter design. This will aid in prolonging your rectifier life span and allow a gentle cycle to occur every time the unit is turned on. So this would allow you to trouble shoot if it is a mains filter cap and also allow a safer operating environment because your B+ would be a bit lower and the stress on your rectifier would lessen because the inrush of current is stayed.