Your image link is not working at this moment (server may be down); I assume you mean this one:
http://www.vintagehofner.co.uk/selmer/schematic/sta.htmlThey have nothing to do with G2. They are connected to B+, which is heavily bypassed to ground with 32uFd. The other ends connect to the *plates*, or *across* the OT windings.
EL84 we assume 8K across the primary, pencil 4K on each side. 0.001uFd against 4K is 40,000Hz. FAR above the audio band. Has "no effect" on musical tone.
In an AM radio we would use a much larger capacitor across the primary to roll-off above 5KHz and reduce static noise and adjacent stations.
There is NFB around this amplifier, and such caps "can" help tame the supersonic response so that NFB does not turn into PFB at some supersonic frequency. However the NFB in this amplifier is very small. First triode has gain of 50, EL84 to 15 Ohm tap is gain like 1.2, overall gain 60. OTOH the NFB is 5K to 100 or 500:1.... even when the load impedance runs high (bass resonance or extreme treble) there is practically no NFB really happening.
Perhaps the prototype was tested under a high-power radio transmitter and these caps were needed to prevent radio programs from modulating the guitar. Or maybe they had too many 0.001 caps around the factory.