Never hurts to put the choke in.
But usually there's not a good reason to put it in. Extremely long servo extensions could benefit from it.
There's also a "glitch trap" that could be added in a long wire. Made with an inverter gate (forgot the chip number) double-inverting the signal and boosting it to full RX buss voltage.
These "tricks" were more common with 72 mhz (USA... I think its 35 or 40 mhz in UK?) which was more sensitive to the interference that could come from ESCs and long servo leads.