Is the PWM on the PF Servo motor different than the PWM from an Arduino?
According to Philo's detailed analysis of the servomotor, it takes its commands from the C lines but needs to be powered as well:


  Being a Power Functions range member, it is fully integrated with this system, and receives its commended position through C1/C2 lines, and its power from supply lines. On a normal motor, C1/C2 duty cycle directly control motor speed, here they set the angular position of the shaft.


This makes sense since there's electronics involved and these need to be powered by a regular, reliable power supply which is exactly the purpose of the +9V and Ground wires. The same holds for the IR receiver (although that one ignores the C1/C2 lines completely).

For more information on the PF wiring, you should also check Philo's presentation of the Power Functions system.