When they fail explosively, the case might typically burst open sideways exposing layers of charred foil and plastic, emitting a loud pop and flash. The pop was often enough to cause the user to unplug and bin the appliance immediately, assuming it to be beyond repair.
So it's not as violent as an electrolytic spewing boiling electrolyte and paper, or launching its can like a bullet.
It's a curious failure, as this type of cap (modern ones, at least) are supposed to "self heal" and fail safe. If a hole in the dielectric develops then the surrounding metalisation is vapourised, clearing the short. Thus they can loose value over time, but should never fail short - that's the point of the X and Y rating.
The concerning thing is that, in order to explode, the cap must have passed significant current - and if it's in a "Y "location, to ground, then that current could have passed though a user. So I would err on the side of the caution.