Yea you cant replace Y rated caps with X, or X2. 

You must use Y for Y, and X for X, Although I dont know if they make a universal or not. 

Have a look here for further detailed information :http://www.justradios.com/safetytips.html

This site is based around tube stuff, but the concepts are still identical. 

The purpose of these caps are to form a pi filter to prevent common mode noise from getting back into the line.