A filter cap. It is in parallel to the actual load and once it's charged, there is not current anymore. It only booms when the voltage is to high.

Many chips, like a bluetooth chip, don't draw power continuously, but there are spikes. These spike in current can lead to the voltage dropping to low. A filter cap acts against that.

Sometimes, especially in prototyping circuits, where nobody took care of properly designing a power supply, filter caps are the first cheap shot at fixing weird behavior.

If you wanna know more, google the term, there is way better explanations then mine, form people with way more profound knowledge.

Capacitors do not conduct any current in steady state but rather conduct more current with higher frequency. The equation is i = C dV/dt

So depending on what frequencies you want to filter out you can change the capacitance C.

It's not a single cap. It's a cap near each power supply pin.

People already explained the reasons. I just wanted to add that point.