The allowable range of load capacitance for a BEC will vary depending on the BEC design. In general, linear regulators will tolerate more output capacitance than switching regulators.
There is no wattage rating for a capacitor. The nearest equivalent rating would be for ripple current, and this application likely won't require anything special.
Try the BEC without any extra capacitance, then add some if necessary to eliminate glitching with your new servo. If extra capacitance is necessary, make sure you use a capacitor with a voltage rating at least as high as the BEC voltage, then increase the capacitance as necessary to achieve normal operation.
When race results are re-calculated using the IOF (Index Of Fun), I always win.
1993 ROAR 1/8 Pan National Champion