Capacitors are not all created equal, therefore they do not sound equal. Links to different sound characteristics and evaluations are below. Please note that the vocabulary from one person to another is quite different. There are no carved in stone definitions of what capacitors sound like. But they absolutely do not sound the same. Music is far to complex to not be effected by the many small changes in manufacturing materials and process. Not much has been done to compare caps one to another because of the high cost of the caps and the long time it takes to do a good job. All of the testers listed below used different amps and speakers, mostly high end, (I think most of the testers are rich kids and/or are addicted to finding the best way to play their music).
no links…
Prime Spam, perhaps…
I’ll chime in here nearly 3 years after 
Yes capacitors (at least polypropylene) do sound different.
I’m not sure I could tell the difference in a complex circuit (always a good idea to use good complements throughout such a build of course), but on a simple single capacitor 1st order X/O the differences are stark.
I use single 3uF caps on a pair of Vitavox S2 compression drivers with Le Cleach 500Hz COF horns.
These are the same drivers as used in the Vox Olympian speakers that are fairly renowned.
If I put some expensive Clarity / Janzen / Mundorf caps in, the sound is too smooth and laid back.
Put the cheap and cheerful entry level ones in (I forget the name), I get right level of attack, dynamics etc that I want.
$$'s doesn’t always pay off.