No, you should not add UTMs to links inside the ad copy of your Facebook Ads.

Why?

Because when you setup the tracking for your Facebook Ad, you're either placing UTMs or WickedIDs inside the "URL Parameterss" field.

Facebook will automatically append any link you put within your ad copy with the WickedID/UTMs. So there is NO need to add UTMs to these links.

We see this commonly in boosted posts.  Please check out this help to learn more: Tracking Facebook Boosted Posts

As long as your ads are setup correct to track with Wicked Reports, you are good to go!