With respect to the inverter output capacitor in your Plasma Nixie project, the capacitor is effecting a low-ish impedance. The output voltage of the transformer is very high, and before the CCFL strikes, the capacitor is equivalent to a short circuit. This causes the gas in the lamp to ionize. Once the lamp has struck, it's resistance goes very low, and much of the energy would be wasted in the windings of the transformer if the capacitor were not there to match the impedance to the lamp.
As the impedance of the Nixie circuit is always very high - return path is via ~1pF capacitative coupling thru glass to the fingers, then via ~1M ohm through skin to ground - it is better to short the inverter output capacitor as you found.