The Sentry 30 DC testing capability can potentially give you some nasty surprises. On AC test the current is limited to a non-lethal (but still very unpleasant) 7.5mA, but on DC test the current is much more determined by what you connect. It has internal discharge of loads on trip or turn off, the trouble comes if you use a loose probe and it disconnects before this happens. Even transformer inter-winding capacitance can give you a belt and capacitors will become extremely nasty. Make sure your connections are secure.
Capacitor withstand testing is certainly possible, I don't know whether the meters are sensitive enough to detect the onset of corona discharge (a cause of failure in high voltage film caps that have voids in the winding (some testers actually include a speaker). Don't confuse this with breakdown testing though, which is inevitably fatal to all but X caps (which will just be unhappy and lose value).
I have a Hunting Hivolt 0-10kV, 1uA /10uA / 100uA trip tester that I use for withstand and insulation leakage testing (DC).
P.S. Although 1kV certainly needs to be treated with respect, it isn't too far into dangerous territory. For instance it is the same limit as most electricians' insulation testers can put out, and it shouldn't be able to break down even an X2 cap. EDIT: Scratch that, the spec is a bit confusing, it's 1kV for Insulation resistance testing but 6kV for Hipot! The breakdown trip time is less than 10us which is a good deal faster than an RCD though.