Because wires are not ideal things, they have physical properties like resistance and inductance which affect things.
Anything you add to the cable will affect things negatively, but it's small enough percentage of degradation that it's not worth wasting time thinking about.
The capacitor is not a placebo, it does improve the quality of the power, but in a very small amount, improving something that's already very good. However, the improvements are the biggest the closest that capacitor is to the end connector. If the capacitor is further away, the effects of having the capacitor diminish. There's still some benefit, but very small.
If you want to be technical it's like this:
The resistance of the wire causes some voltage losses (you have exactly 12v at the connector of the power supply, but you may have 11.99v at the other end, because the wire resists a bit and some voltage is lost, and the wire heats up a bit.
The inductance is a natural property of any wire and basically resists high fluctuations of current, think of it like when the processor does nothing consuming only 10 watts and suddenly you start a movie or something and the processor starts crunching numbers and suddenly demands 50 watts. If those 50 watts have to reach within some nanoseconds at the other end, too high of an inductance can be bad because inductance basically resistance sudden changes.... it's like a spring, it gets smaller or bigger but it takes some effort to change it's size. For day to day use, even for regular overclocking, the inductance in wires is small enough that it can be ignored.
If you're extreme overclocker and you're overclocking processors to the point where processor can go between consuming 30 watts and demanding 100-150 watts the very next moment, in such scenarios the inductance can be big enough to make the electricity arrive too late and that can make the processor unstable. By adding a capacitor by the connector, when the processor wants suddenly a lot of power, the capacitor can give that power for a few nanoseconds until the wire's inductance stops hampering the power delivery and does its job ... so the end result is that an overclocker may see he/she is able to get 25-50 Mhz more overclocking at the extremes.
So if you add an extension cable, the capacitor still does its job, improving the power delivery by some very small amount up to where it is, but from that point to the end of the extension you have inductance again and you have resistance of the wires, so that degrades quality a tiny bit.
Longer wires and extensions are bad because of the extra resistance added.
You have the resistance of the wire itself, at around 0.021 ohms per meter if AWG18 wires are used, and you also have the resistance at the point where two connectors meet, which is around 0.01 ohm (because no contact is perfect).
So you have some loss where the modular cable is plugged into the power supply, there's some loss in the original cable, then there's some loss at the point where the extension cable meets with the original cable and then again some loss in the cables of the extension.
If you use the Ohm's law (Voltage = Current x Resistance) you can estimate how much losses you'd have.
Let's say you give 120 watts to the processor, through 4 pairs of wires (the 8 pin EPS connector) which is a cable 1 meter long, but you add an extension that's another meter.
120 watts at 12v is 10A, so considering there's 4 pairs, that means 2.5A per pair. The total length of the wire will be 2 meters from power supply to the end of extension, and 2 meters back to the power supply, so 4 meters in total.
So if the power supply outputs 12v, then you'd have at the end of your extension :
V = 2.5A x ( 4 meters of wire x 0.021 ohm per meter + 0.01 ohm resistance at psu connector + 0.01 ohm resistance where the extension connects + 0.01 ohm where its plugged into psu) = 2.5 x 0.114 = ~ 0.285v
So at the end of the cable, you'll only have around 11.8v
Now, the processor doesn't really care, because you have the VRM (the dc-dc converter) which takes this voltage and converts it to 0.7v..1.4v the processor needs.
The inline capacitors can be removed completely, they're optional.
The improvements they bring are very small, improving something that's already way better than the maximum allowed (for example if something can go up to 100% and still be valid atx power supply and 0% means ideal, impossible, the power supply without capacitor is at something like 20%and with capacitor it's maybe at 15%).
Adding extension would maybe bring the quality to around 25%
For your system, where that capacitor is and even if it is or not, makes no difference.
