Yes. The datasheet has a recommendation circuit with 10uF caps. Companies are careful to show reproducible, reliably functional circuit examples on datasheets. So, if the caps are there you should try to replicate the design.
Additional bypass capacitors? I use 0.1 uF, 700V DC ceramic capacitors as bypass capacitors close to the leads of the PA95, as is recommended in the datasheet. Can adding a 10uF capacitor in parallel provide better filtering? I'm not sure if one with compatible footprint and voltage rating is readily available, I'll look around.