How old are these students?
Lawyers apparently aren't the only people who come up with twisted reasoning about responsibility, it seems Engineers have their own pathology. Equating naked supercaps and the student projects into which they are incorporated with a finished, safety tested product like a camera flash isn't a very helpful comparison. Comparing a supercap to a lithium ion battery isn't much better. Yes, a lion battery holds more energy, and can deliver it quickly enough to have issues of its own. Shall we compare a stick of butter to a similar weight of nitroglycerine and conclude that the nitroglycerine isn't worth care because it has less chemical energy than a common foodstuff?
They are students, you are an educator. Liability issues aside, I don't see how it isn't your responsibility to help educate them about the risks. Don't pass off that responsibility by acting like its something invented by ambulance chasers, even if you are just doing it to fit in with some of the people on this forum.
Part of the teaching opportunity is to help them understand how and why a supercap can be dangerous, how those dangers are similar and different to dangers posed by other electrical components, and ways of managing those risks seem like important fundamentals to teach.
Pragmatically, you recognize a risk; you are in a position to mitigate that risk; mitigation is congruent with your role as an educator, whether by calling, or just paycheck (you aren't just some passerby who notices that someone bought supercapacitors). What is the personally responsible thing to do in this situation? But you don't need me asking you that, your gut already told you.
As for how to address the concern. I don't know your educational setting. Dramatic demonstrations get peoples attention. Another possibility, a quiz where people have to calculate the implications of accidental supercap discharge. How much would it heat a metal ring, chain or bracelet?
Perhaps a little story problem: Timmy trades a pack of baseball cards for five 300F supercaps and brings them home. When he gets home, his mother sees his new possessions says, "be careful there little Timmy, those supercaps can hold a lot of energy." Timmy says, "c'mon mom, they are only 2.7v, and they hold less energy than the pound of butter you sent me to the store for yesterday." Timmy's mother calmly opens a drawer, pulls out a loaded pistol, says "this is going to hurt me more than it hurts you," and shoots little Timmy in the leg. As he is writhing on the floor, Timmy's mother stands over him and calmly says, "The gunpowder that propelled that bullet through into your leg contained less energy than a stick of that butter. Still hurts, doesn't it?" Was Timmy's mother's analogy correct? Show your work. Bonus points for suggesting a better way for mom to have taught Timmy this important lesson.