OK. I obviously don't know much about electronics, hence why I'm on here asking a simple question. But I DO have a ton of experience in audio, and most of the audio engineers I know throw around the term "RFI" to describe the phenomenon I'm trying to prevent. It is a permanent installation where we have experienced radio interference, and with this simple circuit it goes away. Once I'm able to build a new one, I will test if there is any degradation of audio signal. But now I'm on a tangent.
Your typical balanced audio cable has 3 wires: Hot, Neutral, and Ground (common). In all high-quality balanced audio cable, you will find the wires are already twisted in pairs, a braided shielding wire, and still this is not always effective enough.
In the fixture I am trying to recreate, the hot and neutral wires are twisted in a tight pair, spun around a toroid, and reconnected at the other end. The ground wire passes through the cylinder. There are three capacitors (the ones Mike identified as 10 nF) bridging each output. I would simply like to know why this works as well as it does, given it's simplicity.