i'm thinking that the Cap might be there to cancel any potential RF interference. Back in the day, early 70s, when people were running CB radios with way too much power, people could hear the broadcasters transmissions over their stereo's speakers. the solution was to put a capacitor across the speakers terminals.
RF interference is high frequency. The capacitor shown here is only working for low frequency signal such as below 1kHz. You need to a small capacitor to have lower inductance.
I think the capacitor here is not necessary.
If you use a signal power supply, it is OK. I measured the output from different rails of a power supply, there is a zero resistance between, that means the output of different rails are connected internally.
On the motherboard, it is different. The +12V connector to the CPU circuit is cut (independent) from the rest of the +12V.
On the graphics card, the +12V from the PCIE slot is cut (independent) from the 6 pin and/or 8pint connector.
