"Should you always sift flour when making a cake?"
This is a great question, and the first answer is: follow the recipe. Sifting aerates the flour, which allows it to more easily and evenly combine with butter, oil, eggs and liquid ingredients. But if your recipe doesn't call for sifting (and it is from a reliable source) chances are, it was developed and tested without sifting, and worked well.
Just be sure that you measure flour properly, as you see in this video. Other methods will cause the flour to compact, which not only gives you more flour than you need, but the flour may also blend with other ingredients as evenly.
A well-written recipe should specify if and when the flour should be sifted. I.e. "1 cup flour, sifted" gets sifted after measuring and "1 cup sifted flour" is sifted and then measured. For what it is worth, when I develop recipes I generally rely on the fact that flour is pre-sifted. Unless I am making a very fine or light dough, I do not call for sifting flour.
Recipe: Coconut Triple-Layer Cake