You usually see that choke on equipment that must pass FCC certification. Like maybe on the cable that comes in the box with a camera.
That is indeed the reason.
It works both ways: it stops interference getting into your device from the cable and it stops the cable from radiating interference produced by the device.
It may. But in fact, its effect as a “single turn” inductor is limited to VHF and above frequencies - 30 MHz at the very least. FM radio and TV interference. There is very little in the average household or business that will generate such frequencies, and your Arduino at least would not be particularly sensitive to frequencies well above its clock.