Do I need decoupling capacitors when I'm PWMing an LED?
Just a warning about putting large capacitors on MCU output pins.

Modern FETs can be laid out very compactly while providing 100mA output pin drives, and the thermal time constant is very fast (about 10 nanoseconds) because of shallow channels. The  3_D silicon size (volume) provides little ability to store heat, to the point of over 1,000 degree Centigrade heating per microsecond of short-circuit (driving a large capacitors) operation.

Large capacitors will be way too slow to charge and discharge, causing the FETs to operating in HIGH_CURRENT and HIGH_VOLTAGE modes simultaneously, melting the FETs.

How large a capacitor is dangerous? If the capacitor cannot be charged to 90% of final value (2 timeconstants) in 100 nanoseconds, then rethink your values or circuits.

1uF and 1 amp will charge the capacitor voltage by 1 volt per 1 microsecond. 

0.1uF and 0.1 amp will charge the capacitor voltage by 1 volt per 1uS.

0.01uF and 0.1 amp will charge the capacitor voltage by 1 volt
in 0.1uS. This begins to be safe.

Thus I suggest you not use more than 1,000pF (1nF) on MCU outputs.