Current sensing, low pass filter and ADC frequency
Should I use an anti aliasing filter here?


I think you should. In some applications they are omitted because the system in intentionally trying to sample signals beyond the Nyquist rate of the ADC. I can't think of a reason not to use one. If you know of a good reason, please share.


  I would also be curious to see if someone could comment on C9 below.


It seems to be nothing more than a low-pass filter (along wtih R5 and R6) to reject high frequency noise coming from the source before it gets amplified by the first stage amplifier. I think it is a good idea to put the cutoff of this filter at a reasonable frequency. If you are using the ADC as part of a feedback system, that might be 10x the sample rate.