The capacitor helps to smooth out any voltage spikes (sort of stores a higher voltage peak during flying and releases it during periods of a reduction in voltage). I cooked a number of voltage regulators before fitting a capacitor, they are usually a low ESR to help with the filtering of the capacitor and mine are fitted across the battery voltage pads. Some folk fit them individually to their ESCs for probably a better filtering set up.
Need to remember to fit the +ve lead of the cap (usually the longer leg or marked on the cap body) to the +ve pad of your distribution board and the -ve lead to the -ve pad on the board.