This depends on what you like to filter. If there's only noise on Vcc relative to signal ground which is intended to suppressed, this could be for instance spikes from a switcher, then this differential filtering is suited. But if you try to remove common mode noise, then also into the ground connection to power supply ferrites can be inserted. If you use two different ferrites, one in the Vcc line and the other in the ground line, then you have both common mode filtering and differential filtering. Another option would be the use of a common mode ferrite choke only, with the cable from power supply fed through. In this case only common mode filtering would be introduced. Differential filtering will not occur.

Kai