Yes, you always need an anti-aliasing filter
I am just interested in "static DC voltage"
Which explicitly says "hey, I want a low pass" (to only let through very low frequencies, ie. "the average voltage).
The cutoff frequency depends on what frequency you operate the ADC on – just because it can do 250kS/s doesn't mean it has to run at 250 kHz. You'll have to control the sampling instants by driving the CNV pin yourself, e.g. with your MCU.
But yeah, since it seems that you're only after very low frequencies, go for a very low cutoff frequency – the lower that cutoff frequency, the less noise energy in your signal.
Thus, design of that filter will not really be defined by the cutoff frequency alone, but also by the stop-band attenuation (which might be important to you, but I don't know anything about your signal source, other than it being in a range where simple pieces of conductor can act as antenna and introduce voltages with a comparable magnitude of voltage). And, of course, by technical feasibility – a 10F / 100MΩ RC low pass is a terribly hard thing to build :)
EDIT: As Pipe pointed out, the ADC comes with a built-in single pole selectable switched cap LPF. Might totally suffice – even more so as table 11 from the datasheet says you can configure it to ¼ of the bandwidth. Note, however, that the "less bandwidth means less noise power" still applies; it really depends on what signal your looking at whether this is sufficient or not!
EDIT: as a software-defined radio guy¹, I can only say: go and upvote Olin's answer. He's saying the right thing: A digital filter is easier to implement and far less problematic than an analog one.
Of course, you should still make sure you don't have aliasing in your digital signal – there's nothing a digital filter can do about that once it happened. However, that just means you need strong stopband suppression above \$\frac{f_{sample}}2\$, not a cutoff far below that. It's just mathematical fact that filters can't have infinitely sharp transition from pass- to stopband, so you'd naturally choose one that has a cutoff frequency solidly below the nyquist limit. But that again stresses the fact that cutoff frequency isn't the most critical design parameter here – it's suppression for frequencies above the nyquist limit that might be present in your signal, and that is usually also a function of how "ideal" you can assume your components to be.
For example: If you'd be building a very low cutoff RC filter, you might be tempted to use very large capacitors – but these often have high ESR.
¹SDR's motto is:
sample now, ask questions later