Does location of bulk storage capacitors matter?
I believe that it's generally desirable to keep bulk storage capacitors close to their loads to minimize trace length. The longer your trace is, the more inductance exists, which could potentially affect how the bulk storage capacitor supports loads that require high current draw in short bursts. 

That being said, it's unlikely that the inductance of your trace will be significant enough to really affect your servo's performance. I'd say that in this case, placing it close to the motor is good practice more than anything and doesn't really make a difference.