You may notice they specify a 2200uF capacitor. Is that too much or not enough? It just depends...
A good rule of thumb is to add as much as you can fit in the model. Anything more than zero is better than nothing and currently the TCS KA-series Keep-Alives are the most powerful units available.
The bottom line here is the more capacitance you add, the better the unit will perform as continuity degrades.
You may also notice that ESU recommends including a resistor-diode pair in the positive leg of the capacitor.
This design is also referred to as an Inrush Current Protection circuit. It is included to prevent false short-circuit detection by DCC circuit breakers and command stations.
Is it required? It just depends on your application.
Do you or will you ever use a DCC circuit breaker? If yes, you should probably include it.
Do you have one or one hundred units equipped with "Keep-Alives"?
How much total capacitance do you have installed in all of your locos and rolling stock? If you have big caps in every loco and lighted passenger car on your layout, you should probably include it.
It is not required for all applications however. The TCS KA's and ESU Power-Packs include Inrush Current Protection on-board the device.