They are primarily used when high frequencies have to be blocked in DC power feeds. Their construction is that way to eliminate inductance as much as possible. They are not perfect but consider that a normal capacitor is modeled as a perfect capacitor with inductance and resistance in series with it. The 'feed through' construction is minimize the inductive element as much as possible. They only work when there is a low impedance ground at the center connection, typically a ground plane or vias through a PCB to a ground plane underneath. Without a good ground they are no better than any other capacitor.
Brian.