what I mean is that after I connected the HICAP to the NAT05, I can’t hear any difference whatsoever, which leads me to believe that perhaps it is not connected properly…
Maybe it’s just that it’s working but you hear no difference. Presumably if it wasn’t connected properly but you’d removed the link plug, it wouldn’t work at all.
It can be like that with upgrades. Some find very large improvements, others none at all and still others a worsening of the sound. At least you’ve saved some money.
I’d imagine here that whether it’s worthwhile or not will depend very much on the quality of the broadcast and signal. I would guess that you probably wouldn’t hear much if any difference on most of the stations here in the UK, with Radio 3 (must the least compressed) being perhaps the exception?
Although not talking from experience myself, the subject of putting a power supply on a NAT05 XS has been discussed before and with mentions of not much difference, or it not really being worth the bother, but it will be interesting to see what your findings are with your hi-caps, perhaps you will like what differences they bring (?)
The expense of having a NAT05 XS + Hi-cap + another shelf is relatively similar to the cost of a NAT 01 which IMO makes far more sense if you really really want a two box tuner.
Or it maybe better to leave the 05 XS as a stand alone tuner and invest a few hundred quid in a professional aerial fitting