Where should I place the capacitor in this TL431 + TRIAC crowbar circuit?
I think no capacitor at all is appropriate. The graph indicates it's stable at any anode current with no capacitor. 



If you did put a capacitor on there, for your stated reason, I would definitely not put it where it is shown, I'd put it across the gate-MT1, and no more than a few nF. 

In the shown position, if the power is applied suddenly, the triac may trigger via the cap, causing the crowbar to short the supply.