The caps I have seen in circuits haven't been physically large enough for the values they are to be high voltage caps. This indicates to me that this is purely a sonic thing. A plate-grid short has the plate and grid resistor in series with it, so you'd get a nasty bite, but it's not likely to take you out. 325v B+ on the first stage (which is high), 100k plate + grid resistance (which is low), and you get 3.25 ma of current. Usually between 10 and 50 ma and with high voltage and you start having serious safety concerns.
Ground is still DC connected, so you still get noise reduction from the guitar's string ground.
IMO, it's purely option, and in my experience, doesn't do anything to the sound (with the size caps I've used - 0.22u ). Yes, that statement does conflict with my first statement that this is purely a sonic thing. That's because I honestly don't have a good reason why they are used.