true. also try to choose a cap with a goow high frequency response. In the Electronics Noise book by Ott there's some graph about this. I bet you good do a Bing search and also find something more modern. Basically we want to make sure that the self resonance is not happening at low frequencies. Might be tought to find one with a good HF response, a high voltage rating, and > 1uF.
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.