From Matador:
Apologies for the confusion. This is due to a BOM change between 1.4 and 1.5(a).
The original board was designed to be configurable between a passive heater supply (e.g. simple RC filtering), and an active heater supply (the LM317). After all of the hundreds of people that use the psu, exactly zero of them ever wanted to use a passive heater supply.
Since it took up so much of the board space, I reduced the final capacitor from 4700uF (intended for the passive supply), to a 10uF/25V. However for an active supply, this capacitance isn't needed as the heater load is essentially constant current, and the datasheet recommends an output capacitor "to improve transient response":
In short, you can just leave it out.