Are there any gotchas to using Safty Capacitors (X1/X2 box style) in the construction of a filter?
" Was there something done to enable them to be rated that would cause problems."
No.
"Are there any gotchas?"
Other than possibly enough inductance to affect performance, No.

Safety rated capacitors are more robust than equivalent film or ceramic unrated parts.  They also are almost always larger and more expensive, especially in a low-voltage application.  But other than an ESL (Equivalent Series Inductance) that is much higher than that of a 25 V or 50 V part, I don't think there are other issues.