There is something to be said for the CFE* approach - capacitors are quite cheap these days, it's very simple so there's little to go wrong and you don't need all sorts of exotica like multiple floating heater supplies for different valves etc. One thing to bear in mind though is that 820uF @ 300V stores 37 joules which will give you a pretty nasty belt if you should touch it. It may also take a long time to bleed down after you've switched off.
With a capacitor the psu impedance depends on frequency. If the capacitor doesn't have a large ESR then it will be very low, except at deep bass frequencies, and even down there it can be pretty low. You can estimate it from the formula for the reactance of the last capacitor i.e. 1/(2 x pi x freq x C). So at 20Hz your 820uF would have a reactance of just under 10 ohms (or at least the
dimension of ohms - if you draw current at 20Hz you will get a ripple voltage of 10 times the current but, unlike a resistive source, with a capacitative one the voltage and current will be 90 degrees out of phase).
Cheers,
GJ
*Informal military term for Capacitor, Flippin' Enormous (I paraphrase slightly
).