I don't understand what happening here?

All that fluff and grey paper 'was' a capacitor. It popped like popcorn and blew the cover off.

Was it the electrolytic capacitor that popped? I've seen my Panasonic LR44(A76) batteries of my former red laser pointer, popping like this, but never seen an electrolytic capacitor popping like this. I don't think that the electrolyte in an electrolytic capacitor is under high pressure like in alkaline batteries.

Could this be a defective electrolytic formula on this one?

Capacitor plague

Interesting, I thought it may have been caused by moisture from being inside a refrigerator.

As most of the American refrigerators, are no-frost (Judging by the size), I'm expecting that the air inside your refrigerator would be dry and that the lamp would last long.
I think Rjluna2 is right that the electrolytic formula is defective. But this won't explains why it popped like this, as electrolytic capacitors don't have their electrolyte under high pressure.

Update: It is possible that the capacitor shorted, so the electrolyte being vaporised and pressure built up until it exploded.