I got a PDB with a shunt resistor curcuit for current measurent, and I assume it is connected according to the simplified drawing provided. Does it matter which side of the shunt resistor I mount the filtering capacitor on? the drawing shows the two different ways I was planning on connecting it.

On a circuit like this I would put a one on both input and load(If you have room for both). I would use a capacitor just a little bigger on the input then on the load side. And make sure to use low ESR capacitors.