Do you still have the old transformer? If so, cut it open and see if your open primary isn't really just an open thermal fuse inside the thing.
In any case, your cap was wired right across the secondary, so if it failed it was a dead short across that secondary. COuld that have caused teh transformer failure? Sure.
Caps are often put across transformer windings for noise abatement. SOmetimes you see them on the rectifier instead, but same deal. I happen to have the Peavey Blazer158 open on my terminal, if you have that see C26 lower left. Same as yours except the cap was on the other side of the fuse. I also have the Peavey Bravo open, and again if you have that see both side of the transformer have caps C41, etc. I am Mr Peavey today, you must have a Classic 30 schematic. Both secondaries there have caps. C38, C51. Again same as yours other than a fuse was added.
It is there for noise abatement. If you hear no objectionable noise, leave it out.