Well the resistance in those wires is VERY small. I thought about replacing the sense wire with a small resistor, but I couldn't find any that's got such a small capacity. The only option would've been 1cm of very low resistance constantan wire. I almost ordered some until I've noticed that all those multimeters that I was about to buy couldn't even measure such small amounts of resistance. -> I decided not to do that. (.. because I coudn't even have verified the modification I've done)
I can't imagine that those tiny tiny resistance-values can make a noticeable difference in the performance of the psu. So I'd just say that it doesn't matter where those caps are located, as long as they stay in the same circuit you should be alright.
@Lutro0: Which caps do you mean that should be near the psu? I made an Excel file where I've collected all the information that I have about those cables. -> colours, double wires and caps (with polarity)
and as far as I can tell, all those caps are on the other end of the cables (on the components' side). Did I miss anything?^^