I modded a PL Dialogue HP before. I found the two coupling caps (as shown in Margu's photo they are the black VCaps) make the most improvement and are coincidentally the easiest to swap out. These are directly in the signal path.
While I ended up doing a full recap, (even more than Margus did), I found the others didn't make a significant difference. Before doing the caps on the power tubes, I'd even try the two films linked on the massive Nichicon electrolytic that smooth out the power supply.
All that said, modifying the Primaluna did make it sound better but it didn't make me love it more so I sold it.