[morzh]

There is usually only one cap in radios that is intentionally rated about 1000V. This is the one that goes from the plate of the output tube (in case of CLASS A, a single ended output) driving the output transformer to the GND.
The reason is, if unplugged while in operation, the speaker creates disruption to the current that creates overvoltage, that when reflected back to the primary can reach into some pretty high numbers, even over 1kV.
In normal operation the voltage there is no higher than the B+.

If the speaker is soldered it, there is no way for it to be unplugged. And then, even with the plugged speaker, it is unlikely.

So, personally, I use 600V-rated caps in that circuit.
The rest of the caps also d not need to be rated any higher than that.