In the case of that chip, yes, you would. They actually allocate quite a bit of space (pages 21 and 22 in the datasheet) to describing the capacitors required.
But, as a general rule, you do want 1 cap per Vdd pin. A ground plane negates the need for decoupling on Vss, if you don't have one you're going to have problems.
In the case of the dsPIC linked (and many other chips), each Vdd pin is adjacent to a Vss pin, so just put it right there. There are actually four Vdd pins, and four Vss pins, so they match up: 2xVdd (IO supply), 1xAVdd (ADC supply), and 1xVcap/Vddcore (internal regulator capacitance), along with 3xVss and 1xAVss.