It wouldn't hurt to put a bit of keg lube where the faucet and tail piece thread onto the shank. I always re-lube the faucet o-ring when I clean my faucets so I have the keg lube out anyway...
I'm not sure how durable/persistent food grade silicone lube would be at mashing temperatures, but again it's not going to hurt anything to give it a try...
On a mash tun fitting, chances are you're talking about standard pipe fittings (NPT). In that case, yes. On a beer shank/faucet, no you don't want to use PTFE tape.
PTFE tape is for fittings where the thread itself makes the seal, which means basically only NPT (tapered pipe threads). It's to help lubricate the threads and fill in any imperfections to help with the seal. Don't use it on any sort of straight thread with an o-ring or gasket (beer nut on coupler/shank, faucet) since it may prevent it from closing all the way, and don't use it on a flare-type fitting (MFL, CGA) for the same reason.
They're talking about something to prevent the metals from seizing/galling. Personally I don't see the need, but I guess I haven't thought about it too much.