Electrolytic capacitors loose some of their passivation layer. This needs to be present to make them DC insulators. Without it, they are a dead short. So while it reforms, they are resistors and heat up. This can be a problem. To allow the heat to dissipate and the passivation layer form properly perhaps try this: Plug it in for a moment only, repeat 3 times. Turn on and right off again and repeat 3 times.
If you see any damage capacitors replace them. Generally replacing all electrolytic capacitors is a good idea. Essentially those pesky tantalum ones.