While in theory capacitors are not needed on an installation with a 2G4 radio, because the motors cannot generate interference that upsets the radio at the frequency that the radio works at, there are a couple of other considerations.
One is others sailing near you who are using more traditional radios. You probably don't want to find one of them suddenly lose control and head for your boat. A thin possibility, but boats on water do have a peculiar magnetic attraction for each other.
The other is keeping back emf voltage spikes generated by the motor out of the power supply. The ESC should stop them, but might not. a nice new well made motor "should" be OK, later in its life as wear and tear take effect, less so. Voltage spikes getting into the power supply have the potential to have a bad effect on the timing components that everything depends on. ESCs rely on stable power, as do servos, switchers and everything else that plugs into the radio. And the radio depends on stable power to give stable timed signals out.
Soaking up potential interference at the motor before it has a chance to go elsewhere and do its evil is good practice. Soldering a capacitor across a pair of terminals is nothing of a job compared to rebuilding a boat, either because poor control broke it, or there was the need to pull the motors out to fit supressors.