Do I need coupling capacitors with this balun?
The answer will largely depend on the internal makeup of the input port of the microcontroller. A DC path to ground from the balanced RF input port is likely to be undesirable, especially if the manufacturer has suggested capacitive coupling. These lines could go directly to transistor stages and the DC grounding (through the balun winding centre-tap) would alter the biasing.

Is there a good reason not to include the coupling capacitors?