There's really 2 parts to this, capacitors between the track and the decoder, and capacitors between the decoder and motor (or even on the motor).
You should always remove capacitors between the track and the decoder, as these will break down the DCC signal as mentioned above, and prevent the decoder from receiving it's proper commands resulting in poor running.
Whether you should remove capacitors between the decoder and motor often varies between decoder manufacturers, so the best thing is to read your decoder manual. I know that Digitrax and Lenz/Bachmann recomend removing them, but then there are certain installations (such as some Bachmann split frame loco's) when a capacitor across the motor terminals is recomended. So this is really a case by case decision.
You should always remove capacitors between the track and the decoder, as these will break down the DCC signal as mentioned above, and prevent the decoder from receiving it's proper commands resulting in poor running.
Whether you should remove capacitors between the decoder and motor often varies between decoder manufacturers, so the best thing is to read your decoder manual. I know that Digitrax and Lenz/Bachmann recomend removing them, but then there are certain installations (such as some Bachmann split frame loco's) when a capacitor across the motor terminals is recomended. So this is really a case by case decision.