The whole purpose of starter level beginning type experiments is to get you familiar with the parts and with how things work.
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It doesn't matter if the wires coming out of the servo are green, yellow, and purple or red, white, and black. Or if they twist or don't twist.
What you need to focus on is what they do and how you make them work. The colors are simply conventions to impart a little information.
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The red wire is probably power. It needs to be hooked to a voltage source. For just a servo, it probably doesn't need a capacitor to smooth power, but point a search engine at that topic if you are interested. The black wire is probably ground. It needs to go to ground. The white one is probably signal. That is how the Arduino controls the servo. Again the colors and twists don't matter- focus on the functions. You don't just blindly put this 3 pin header in to that 3 pin header. You connect power to power, ground to ground, signal to signal. If you have to adapt and overcome to accomplish that, changing this or changing that, that is what you do.
Why would a capacitor explode? Point a search engine at that topic and find out. As long as you don't hook up a polarized capacitor backwards you will be fine. Pay attention to the flows and the circuit, know the functions, and you'll be fine.
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