**slaps noob on the head with a spoon**
Most, if not all escs have caps built into the esc as standard- what we're talking about here is something a bit different. If you take an esc that isnt ideally suited to the job, and run it on a higher voltage than intended with a larger than intended motor too, in a larger vehicle than intended, then extra caps can be very beneficial.
Best examples would be an MM with an 8Xl on 4s lipo, or an old Quark 125b being ran on 6s (they didnt always like 6s despite being rated for it, where as the MM is rated for 3s lipo and S can motors).
Hope that clarifies things, but should you yearn for more info, have a read of my tutorials:
http://robotwars.00server.com/tutorials.html