It's a "peace of mind" purchase. I have a model plane with a gyro fitted and on windy days (UK weather!) those servos can be very busy. I was worried that the occasional "brownout" might bring the plane down so bought this capacitor to help.
Has it worked? I'll probably never know. I'm sure it reduces the risk, so I'm in a happy state of mind about that.
A couple of downsides:- It's quite a large cap., and you may need to use one of your receiver channels to plug it in.