We have two main kinds of capacitors.
The first one is necessary to AC-couple the audio signal: they prevent any unwanted DC offset, and they offer protection against wrong connections. For this reason, you can patch nearly every input to every output, and the worst thing that can happen is some pops or some silence.
The second one is power filters to guarantee a cleaner current flow across the case. They might sound a bit over the top, but we must remember that a Eurorack system is not something that comes straight out of the factory. Instead, every Eurorack setup is unique and may change according to the musician’s need. For this reason, we want to add as much protection as we can, both to avoid issues with our modules and to ensure that even the other modules behave correctly. We use a wide mix of capacitors in our modules: ceramic, electrolytic, tantalum, and multilayer. They can be assembled thru-hole or SMD, according to what gives the best balance between result and space. For example, all the electrolytic capacitors are mounted thru-hole because they perform better according to our tests.
However, the capacitors have zero impact on the power draw, on which you can read in this other FAQ.