etet -- You are exactly correct that the lion's share of the filtering action takes place early on in the B+ distribution system. And, as other have pointed out, the caps you are referring to -- such as those likely associated with say the phono and line/tone stage sections of an amplifier -- do help "finish" filtering the B+ from whatever ripple was not removed by the earlier capacitors. But these latter caps you are referring to (associated with the stages mentioned) perform one other very important function called "decoupling". In fact, old timers used to call these caps decoupling caps.
Besides additional filtering, the presence of these caps prevent multiple stages that are powered from a single point from interacting with each other -- not only within a given channel, but from channel to channel in a stereo amplifier. Without them, if two stages of amplification (such as a phono preamp might represent) are powered from a single point, the signal output of the last stage can travel down its plate resistor, back up through the plate resistor of the previous stage, and right back into the grid of the second stage again. In other words, we have an oscillator -- which is exactly why a unit with defective electrolytic caps at this point will often "motorboat" -- so named because of the putt-putt sound the unit makes because the stages are now oscillating. In this example, with a good B+ filter (decoupling) cap at the junction of where these two stages are powered from, a very low impedance (effectively a short to any AC signals) is provided by this cap to ground, that prevents the signal from the second stage from being able to travel back to the first stage.
Knowing this now, since most stereo amplifiers power the equivalent points of each channel in an amplifier from the same B+ point, you can just imagine how much cross talk would occur between the channels without these caps at each B+ distribution point were the caps not there (assuming it would even remain stable without them).
I hope this helps!
Dave