First, soft recovery diodes and Jensen copper/oil caps are part of the upgrades that Cary does to make signature models of their amps, so there is nothing here that is out of their normal upgrade path. Cary can do the work, but it is quite simple and can be done by any qualified technician or experienced hobbyist.
Here is a much more cogent explanation of the benefits of soft recovery diodes than I can give:
http://www.audiokarma.org/forums/showthread.php?t=202893
As far as caps go, you will only need to change the output coupling caps, so only two caps are required.
As to the improvement that this package will make, it will have less noise, greater clarity, better detail, more body and smoothness. If you find your amp to already be too smooth, you can use teflon caps, such as the V-Cap in place of the oilers.
Michael Samra, one of the authorities on audio power supplies, and Cary power supplies in particular, finds the large computer-grade electrolytic caps that you see on the top side of the amp to be total junk and rebuilds the power supplies using film or oil caps. Interestingly conrad-johnson has done away with using electrolytics and uses film caps exclusively. I have not tried it, but my guess is that this would be a giant move forward, sonically, though it would kill the resale value and the large physical size of the oilers or film caps would create aestetic problems as well.
