I agree with you. That's pretty much the design route I went down. I was going to diode-OR the super cap output with the 5V regulator output so the lights would come on as soon as track power is supplied, and the super cap would charge slowly through a resistor. I already ordered some 1.5F super capacitors due to their lower ESR.
But it becomes a cost tradeoff. I figure I could roll my own for under $10 each, including PCB, super cap, regulators, and passive components. And that would keep a car illuminated for up to a minute with power removed.
But since my block controller will keep some power on the track, I think it may work OK with just a buck/boost regulator. An electrolytic such as the 1000uF 35V I use in the electronic E-Unit only has to supply enough energy to prevent the flickering as the cars move down the track. That's why I ordered one to test.
Jeff