I've often gone for big Solen PP for local H.T. de-coupling near a particularly hot tube.
Yes - the two things that cause problems for electrolytics are ripple current (and hence power dissipation) and ambient heat.
In power applications it's not unusual that the capacitance value used is larger than necessary wrt pre regulator ripple but the capacitors used are required in order to realise a low enough ESR to avoid problems. eg Parallel Output Capacitors in PFC application.
I've substituted with large film caps in that application for an instrument (analytical not musical !) that inherently gets hot although the design didn't get into production. Not an audio application but using similar voltages that you might see in a audio valve application (c 400V) I believe - I know little about the specifics of valves.
Yes - the film cap did cost a bit more than the electrolytics (and would have required a pcb revision for production) but I reckoned the savings in terms of in warranty repairs and reputation made it worth looking at.