Thin film capacitor for voltage multiplier
$$\color{red}{\boxed{\text{Answered before the OP changed the goalposts}}}$$

Lets say I am making a 5 stage voltage multiplier (Cockcroft-Walton half wave multiplier) which runs at 450KHz with 500V fed to the multiplier, I should be getting 5KV as output. Is this a good choice of capacitor?

If your output voltage is 5 kV and you have 5 stages in your Cockcroft-Walton multiplier, then each stage will need a capacitor rated to at least 1000 volts and preferably more like 1500 volts for some degree of reliability.
The capacitor you have linked to on Mouser (ECW-FG2J155Q1) is rated at 630 volts DC as per this table in the data sheet: -

It can't be expected to work with any recognized degree of reliability so, my advice is: -
$$\color{red}{\boxed{\text{Choose one with the correct voltage rating}}}$$
Or
$$\color{red}{\boxed{\text{Run with 10 stages minimum}}}$$