- Generally, use a common supply for all devices on the same voltage.
- Use a separate regulator if switching noisy devices.
- Separate regulators should be considered for audio and digital circuits in the same device as digital switching noise may show up on the audio line.
- Always decouple every IC. This site has many questions regarding non-working circuits because the OP assumed they were optional components added at the whim of the datasheet authors.
Is a MCU considered to be a noise generator?
Any time anything switches there is a change in current. There will be a short delay while the power-supply voltage regulator reacts and the inductance of the wiring or PCB traces will make the situation worse. The local capacitor provides a tiny but fast acting charge reservoir to hold the voltage steady.
Responses to OP's comments.
If most MCU's have internal voltage regulator to work in a lower voltage than its input, why the decoupling capacitor is always required on the datasheets?
Most don't. The only ones that come to mind would be an ADC or DAC voltage reference. The de-coupling is still required for reasons stated above.
Search this site for "decoupling" and you will find plenty of info on the subject.