No Forget the Light Bulb.
I Also find it Strange that your only Damaging the First Cap.
But as I Said: Your Caps are rated at 20 KVDC.
NOT a 20 KVAC rating.
The AC Rating of those Caps May be LOWER than the 9000 volts your putting in, so causing damage to it.
The Second Cap will Not be Seeing the full Pure AC, so that may be saving it from damage.
As far as GROUND goes, Since your using a Transformer, your 9000 Volts is probably Isolated from ground.
There really is no Hot or Neutral.
It does Not matter if you Ground it or not.
But if you do, that is also ok.
Considering your 2.2 nF caps. (.0022uF)
That is pretty small capacitance for working on 60 Hz.
It has a Capacitive reactance of 1,326,291 Ohms at 60 Hz.