I have done it both ways and either works. IF you do grease them, make sure to use something rubber safe, which it seems not all caliper greases are. I use Sil-Glyde and you don't need much. The ATE Plastilube would work also.
Reman'd/rebuilt calipers always seem to be greased.
Sil-Glyde:
Reman'd/rebuilt calipers always seem to be greased.
Sil-Glyde:

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