I just read on the site above, where a guy replaced the HV diode with a different one that didn't fit in the stock connectors. He soldered it directly in and smeared blue RTV sealer over the ends of the diode.
I removed the broken connector in the picture above, soldered the HV diode in place on that end. I then covered it with an HV diode boot from a dead xm-501 monitor and covered it with RTV sealer. The other end was fine, and I stuck the diode in as normal.
My guess would be for quick replacement in the field, but I can't imagine these failed very often back in the day. I agree, the soldered connection is much more reliable.