lm317 current source
True, but irrelevant in your case. An LED does not change forward voltage quickly- there is a slow (thermal) change, but nothing on the order of microseconds where the caps have some effect. The caps may effect better stability so I'd suggest using them.

Edit: In simulation, with 100uH inductance (long wires with some loop area) in series with an LED load (3 x 1N4004) the circuit is close to being unstable (or at least it rings- the current overshoots as well as the voltage). 10uF in C2 position completely eliminates the overshoot- as you might expect all you can see is the 25mA current charging the capacitor. Below trace is without C2 and short across load removed at t= 100usec. 



Now, with 10uF in C2 position: 



Same thing but with 4 ohms rather than 50 ohms and only 30uH inductance (no cap), showing current.