I think that removing it from the sled to do a smell and voltage test is a good idea. Just be safe and follow the safety warnings in the manual. I don't use a resistor to bleed the capacitor, but do I measure the residual voltage and depending on the voltage I pick a load to bleed it. For instance if the voltage is not much higher than say 15 Vdc, then I use a 12 Vdc test light or my 12 Vdc shop light to drain it. Whatever you do, please don't cause an accidental short against the chassis as this is never good for electronic components.
The Capacitor is indeed a component that can go bad. Since it is an integral part of the voltage regulation, if there is any doubt about this component, then replace it. A steady voltage on a sled is everything. The Capacitor is roughly $100 CAN with taxes.