A cap from MCLR to ground is also necessary to kill the spikes.
I'd probably say that it depends. On the chip used...and the application...and the circumstances and...

I mean, for the MCLR part of the circuit the capacitor might help (or at least not make it worse if it's not too big) but for the ICSP part of the circuit the capacitor will slow down the risetime of the applied Vpp which may prevent the chip from entering programming mode.

Some designs I've seen use the typical resistor/capacitor circuit with the RC-junction connected to MCLR thru a small signal diode so that the ICSProgrammer doesn't "see" the capacitor. Personally, I've never used that and I generally don't put a cap on MCLR. I have boards that have been running in an industrial application (welding automation so quite noisy environment) for 10 years now (using 18F2431) with just a 10k pullup on MCLR-pin. Perhaps I'm lucky.

/Henrik.