Actually I imagine the trip through the little toroid transformer might filter out some small transients. I know an engineer who said a simple overhand knot in the cord would filter out some very high frequency noise. I don't know how true it is but I am never in a hurry to untie a knot that develops in the cord of my electronics.
Tying an overhand knot or putting a loop in a piece of wire increases the inductance and can, indeed, attenuate high-frequency noise and dampen some transients. Wrapping the cord around a ferrite choke will be more effective since the pereability of iron is so much higher than air, but just a loop in air will help, too.
A single loop has negligible impedance vs 60Hz, but don't go overboard or you could end up with a DIY power factor "correction" inductor and increase circulating current in your circuit.
