PWM does not work by "change speed based on the voltage going through the circuit". PWM changes speed by varying the time of POWER OFF Intervals between POWER ON intervals, the voltage never changes.
I ran an electric power utility for a half dozen years, and have been designing plants for 30 years. I know how capacitors work and what they are for. They function to smooth out variations in power output..... here as stated on the web site ... it takes in "dirty" 12v power and outputs clean 12v power....which has no possible effect on fan speed. It is not relative to anything related to speed control.
Here's the "daisy chaining" cable the OP referred to with regard to the daisy chain feature. It has no capacitor.
http://www.arctic.ac/us_en/pst-cable.html
Clearly, the cable is controlling 4 fans and has no capacitor....it instead relies on the VRM of the MoBo / PSU to provide clean 12v power to the fans. The hub on the other hand does the exact same thing.... it takes the dirty input power from the PSU and uses a capacitor on the INPUT side to clean that power up
The Silverstone web site states this very clearly
http://www.silverstonetek.com/product.php?pid=526
Powered directly by SATA cable from the computer power supply and filtered through a built-in 2200μF capacitor, the CPF04 can provide clean, stable voltage to any fan for optimal performance.
Take this capacitor out and, theoretically, at best all it means is that the 12v power might be somewhat "dirtier" than it would otherwise be . I say "might" cause PSUs do a pretty good job of cleaning up the power. Look at the test results on jonnyguru to see just how good a job they do. And our HD's, fans, SSDs and everything else connected to our PSUs seems to survive just fine without additional capacitors.
Why did Silverstone include this if it wasn't necessary ? Perhaps to differentiate themselves from ModMyToys and Swiftech and every cable splitter manufacturer, none of which seem to need this capacitor but which work perfectly fine.
Silverstone hub w/ capacitor .... nice feature, I guess, doesn't cost more than a few cents, but redundant w/ dent VRM on MoBo / PSU
So... no a capacitor is not required to control multiple fans:
1. The Daisy Chain cable above doesn't have one ... it works fine
2. The Swiftech PWM hub doesn't have one and it's the defacto standard
3. The ModMyToys PWM hub doesn't have one .... it works fine.