Ah right…electrolytic has a bias. So…Lamp in this case is the Load? So between the DC PSU and the input to the device, put the capacitor across V+ and V-. The Load is the ESP device, which then switches the MOSFETs for the PWM on each individual LED line.
EDIT: Hmm…that’s even easier to do, the V+/V- are screw terminals. Just unplug from the power source, pop the lid off, carefully unscrew, slide in the legs (might need to trim), and screw back down.