I am developing a circuit for a dsPIC30fxxxx microcontroller. In the documents I found a picture that depicts the Vdd circuits, see attachment.
What does the picture say?
Do I need 3 capacitors for each Vdd?
Probably yes. Note how C6, C7 and C8 are different values: they are meant to work as a group to provide a low impedance at different frequencies. I read the schematic as instructing you to place one group of three close to each pin (order them by capacitance with the smallest closest to the pin)
Now, it's quite possible that in practice you can use a different configuration. See if you can find the schematics for an evaluation board as these are often more concrete than the chip's datasheet.