If the caps are after the diode, then they store the dc pulses. Measure the volts on the caps before you are turn on the magnitizer current, they will charge to the peak volts, which is around 155v dc. If you research 1/2 wave power supply, the two caps are storing the dc voltage. Two caps in parallel is just like putting two batteries in parallel, they will store more electrons and be able to produce more current when discharged.
If you want to prove the big bang theory, put many caps in parallel, unplug from the 120vac and see how many metal particles come off the tip of your screwdriver when you short out the caps. Don't do this if you are on a pacemaker. It would be a very good idea if you are holding on the the insulated end of the screwdriver too.