The only place you usually see those ferrite chokes are on the wire that runs between the ESC and the receiver. That's to stop the noise from the switching circuit in the ESC being transmitted into the receiver. Not really an issue with 2.4GHz but does no harm to have it there.
I've never seen them on servo wires. No doubt they are there to choke out electromagnetic and RF interference, but I've never experienced any problems when running without them.