The capacitors are used to reduce noise.
They aren’t necessary, but better to have them than not. The capacitors are usually “monolithic” type, usually 0.1uF or 0.01uF.
You could also use greencaps/polyester etc, but they are much physically bigger, monolithics are small, and you may even care to look for SMD type components if you want to get really small.
You may also find capacitors placed between each terminal and ground.
