PSU Help!

You need the cap for audio use (noise/distortion etc) but if its only to drive LED's then probably not if you are looking to minimise component count.
I asked if I still use the cap because " You have decoupled the divider to ground with a cap which will short the signal. Use a resistor from the divider to the opamp. " so with the resistor is fine.
f you are looking to minimise component count.
Not a problem , a cap won't occupy much space .