[Spktyr]

Think more ‘blast shield’. Again, didn’t say it can’t be engineered around, but it’s a well known problem for all capacitors.

[KenD]

This isn't specifically to Spktyr, but to the notion of "all capacitors are explosive".
As I recall, electrolytic capacitors have a liquid within them. Rapid discharged caused that liquid to flash into vapor, thus the explosion.
This reported technology doesn't look like it would have THAT problem but could conceivably vaporize the graphene layer(s) BUT if there wasn't a constriction that attempted to contain the pressure of the vaporized material there wouldn't be much of an explosive potential.
FIRE on the other hand is still a risk.
Of course, the vapor in the top of a gasoline tank is potentially VERY explosive and we've learned to live with that risk.