Do I need to filter before sending signal to an ADC?
Nyquist tells me that I need to limit the bandwidth of the sensor to
  12.5kHz in order to be able to reconstruct a signal (and avoid aliasing).


Nyquist does not tell you that. What Nyquist-Shannon sampling theorem states is:


  if you have a signal that is perfectly band limited to a bandwidth of f0 then you can collect all the information there is in that signal by sampling it at discrete times, as long as your sample rate is greater than 2f0


The key piece that almost everyone overlooks is perfectly band limited. This is an acausal filter and can be realised when post-processing data and you apply a sinc pulse which is the same length as your data.
This cannot be done in realtime but can be (poorly) approximated via a Cascaded Integral Comb filter but this still is not perfectly band limited

Nyquist theorem does not say to sample at 100Hz because you are interested in 50Hz main. If you sample at twice the frequency of interest you may have some information that a component exists, but you will not be able to reconstruct it 



A reasonable rule of thumb is acquire 10x that of the frequency you are really interested in. This will result in ~ 99.5% of the amplitude and a 5deg phase shift (quantisation aside for now...). The key is to determine the maximum frequency you are interested in acting upon. 

In your example

Sensor (200kHz) -> ADC (25kHz).  This tells me that you are really not interested in signals above 2.5kHz and by interested I mean really make use of (control, react etc...). If that is acceptable so be it.  so an anti-aliasing filter around 12.5kHz would be fine

But what about aliasing?  if you feed a sensor with a bandwidth of 200kHz into an ADC sampling at 25kHz you are going to unwanted signals as aliasing could occur. It is advisable to have a LPF in front of the ADC to act as an Anti-Alias filter, now the sensors output being band limited could have served this purpose IF your ADC was being sampled at say 400kHz, but that isn't the case. It would be advisable if you put a LPF in front of the ADC to roll off any components that could be aliased by the ADC 


http://www.ni.com/white-paper/2709/en/
http://www.wescottdesign.com/articles/Sampling/sampling.pdf
http://www.ti.com/lit/an/slyt626/slyt626.pdf