Yes we would always recommend sealing all natural stone copings and steps, this will give some additional protection against hard to remove stains and also help to further reduce the maintenance needs of the product. It is advisable around swimming pools not to seal the stone as you want to maintain the maximum porosity of the surround stone to improve slip resistance.
Always make sure your paving is completely dry before sealing and that you have at least 24 hours of dry weather ahead after sealing has been completed.