Larger capacitors tend to have higher inductance and dielectric absorption affecting higher frequencies the most. Bypassing with smaller capacitor (creating alternative path at high frequency) improves overall performance. It also allows to use cheaper main capacitor for cost reduction. Huge electrolytic caps (with higher inductance) in power supply seems to be ideal target for bypassing (speaker current closes thru them), but low ESR bypassing caps in parallel with inductance of main caps can create parallel resonant circuit. Using many filter capacitors in parallel reduces overall inductance. There are better, lower inductance "Slit Foil" BHC (now KEMET) electrolytic caps, but they only go to about 80V and are expensive.