Is the green "x" on the image telling me NOT to solder there?
Yeap, dont solder that. You want the power from the 9V only going to the electronics, and the power from your battery holder going only to the servos. They both share ground, but the + voltages are different and so shouldnt be connected.
So Im glad you brought this up because it appears you found a big mistake in my tutorial that I should fix . . .
Ill have to go and fix this . . .
In the meantime . . . ignore the red line in that image and connect the output of the regulator to the sensor power bus. Its the same as the purple wire in the very next step.
Make sure there is no connection where the green X is. Solder the battery holder power lead to the servo bus.
With this modification the big capacitor becomes mostly useless, but wont hurt anything if you just leave it there. Ideally you would want the capacitor to connect between ground and the servo power bus only.
Hmmmm this I think is a bit too confusing, I think I need to go over the tutorial and fix it up a bit
Let me know if you still have problems!