
Looking at your pictures in your first post, i do see that the cap and a resistor are connected to pin3 on the preamp tube.
That 'convenient' connection point on the socket are - i believe - originally designated as a grounding point to screen the pins from each other... I think.
 ( i have a couple of such sockets in my shelf...
 ( i have a couple of such sockets in my shelf...  )
 )Edit:
Look at the last pictures you posted; the other two caps connected to the socket. They have some black around the base of the leg that are connected to the tube socket. (looking under the 'skirt' of the grey plastic encapsulating the caps.) Your blue cap should go the same way.

 
 
