Greg,
9 years ago when I wrote this, I had re-capped several Sunn amps with 525V can caps with excellent results (I still own several of them). However, I've recently been running into the exact issue you raise....the B+ voltage from the rectifier can easily reach 560 volts and blows the $35 can cap! Two ways to handle this 1) install a new can cap, but replace the first cap-in-the-can with a totem stack (I use 2-100uf @ 450V in series with 220K 1 watt bleeder resistors....yields 50 uf of capacitance at 900V). Or 2) save yourself some $ and do as you suggest....replace all the filter caps with discrete caps! I did this last winter to a 1969 Sunn Studio P.A. I left the original can cap in place for appearance and, on the under-side of the chassis, pop-rivited two terminal strips and installed all new filter caps, bleeder resistors on the totem stack (as above) and new dropping resistors between the filter stages. This approach also allows you to use higher capacitances in the first two stages for better bottom end. I plan to use this approach in the future. While it is a bit more invasive, it provides for a stable amp for those that play them.
Ryan