On DC voltages yes, but these capacitors are too small to do something in that case, the low resistance of the battery is capable to give enough power w/o high power drops. The capacitor is there to filter the small high frequency AC part on the power line caused by the switching FET's This high frequency ripple can make the FET's of the ESC and also the battery hot.

I believe MonacoRC has a non polarized capacitor. This is a small PCB with many ceramic capacitors parallel. Ceramic capacitors have a much lower ESR than the normal used electrolytic capacitors and with many parallel the ESR will be much lower. And if you want to have a next better step then a capacitor bank of tantalum capacitors is the best choice but expensive. Well, not that expensive to try but for the manufacturer not a good choice in costs compared for what you get (more costs for nothing noticeable)

Any gain? No, unles you are a guy winning many worlds prooving you can get the best out of it. Then maybe with a better capacitor you can get 0.05 sec a lap more out of it....