In the rare case where you had an analog or digital signal swinging from 0 to 24v AND you had a distant load across 0 to 24v that switched on and off, then you might argue the split capacitor scheme would be useful. But for av current mode signal, the best place for a capacitor is across the terminals at the receiver.
Looking at the schematic, and assuming a 250
resistor inside the PLC, and the capacitors totalling 1\$\micro\$F, this forms a low pass filter at ~600Hz. but, as drawn, it also forms a high-pass filter to couple power supply noise in above ~600Hz.
So above 600Hz, noise from your signal will be removed, but replaced with power supply noise.
If I were putting in split capacitors i would put them across the 3 pot wires (at the input to the 4-20 converter) , maybe that's what the designer said, and draftsmen mis-heard him??