Those tubes are coils or inductors, again along with the capacitors are there to reduce electrical noise from the motor's mechanical workings. It comes to something when the manufacteres emplyees don't even know the product. As for puting larger caps across the motors, it will do no good, and could be a problem.
I have just ordered my Pololu Zumo chassis and will be doing my own thing with that soon. I too have the PR-5 but very disapointed that the wheels slip round in the tracks if it gets in a jam, the other strange thing was the power leads on one motor are thicker then the other, not very good really!! But I have also brought the round chassis, etc and motor drivers, I like the tiny DRV8833...
Here's a couple of pics...
Hope it helps,