Connecting linear Hall Effect sensor directly to microcontroller ADC
That is correct. 

A capacitor is needed because such ADC are SAR and as such the switching can cause an upset to the part in question. 
Typically a SAR type ADC requires any input pin capacitance to be a minimum of 10x the Cia to ensure that when it switches the actual voltage on the input pin does not droop (before said capacitance can be trickle charged from any sensor).

4.7nF satisfies this and is a typical value I would use when connecting Allegro devices directly to an ADC. The only times I consider placing a buffer between the Allegro and an ADC is if I require a larger capacitance (usually due to filter time constant concerns) 

Not to sure about explicitly placing an Rl in parallel with the sensor, in series with the output to produce an RC filter may be of more benefit

Once piece of advice. The benefit of these devices over others is their ratiometric gain w.r.t. supply voltage. Ensure such a device is as physically close to the ADC as possible to ensure the ADC and the HES share the same rail so the ratiometric nature of the ADC &amp; HES can be taken advantage of (by same rail I don't mean 5V powerplane on a 1m x 1m PCB... I mean their power pins as close as a via and decent local tracing will allow)