Actually a good RF filter with a feedthru must be formed by a LC or RC combination. Capacitors alone are not real filters for RF signals. Therefore if you can, add inductors or small resistors in the DC plus RF line to reduce RF or AC. Commercial feedthrus include ferrite beads that form the inductors, and they specify RF loss over frequency.
A SMA connector might be "too open" for microwave signals even if you add multiple capacitors around.
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If you operate diodes by feeding a RF signal to them, then you can expect harmonics to be generated as P/N junctions open and close. Then such harmonics can pass a SMA connector even with SMD capacitors blocking the opening.