I've seen another couple of applications, a zero voltage switching or quasi resonant supply uses a cap accross the primary to make the winding resonate, I wouldnt expect one accross the secondary though.
The other while not strictly accross the winding is where a coil is driven by a half bridge and the other side of the winding from the switching trannys is connected to the power rails by a couple of caps, the idea to balance out any dc formed by non symetrical switching.
Orson cart's description is more likely though, esp if there is a cap on both pri and sec.