Not sure if this capacitor will blow up
That thing (in my opinion) does not qualify for the name of a fan controller. It's just a box which relays the PWM signal it gets from the mainboard to all eight connected fans. It does some trickery to get back a valid speed signal.

The power is delivered by a SATA power connector.

The capacitor is inside the box hooked up to the 12V of the SATA connector to provide a locally stabilized voltage to the fans - might be a good idea if 8 fans are doing PWM at the same time.



Taken from the product page.

It has a 16 V electrolytic cap, so the voltage rating is fine. It is electrolytic, so it will fail at some time in the future - maybe the reason why they put it there in the first place (that's a bit harsh).