No, I don't think they should. I mean, if they are an adult, they could probably go buy themselves a bag of candy. After turning 18, I was told I was too old by family and friends and at that point I was told I was "begging" for candy. Maybe I'm biased. Maybe adult trick or treating is just a taboo. It is a bit awkward handing out treats for kids and seeing an adult in full costume trick-or-treating, especially if they are alone. I mean, there are probably plenty of Halloween parties and events for adults to snag a few candy bars...even if they are the not-so-fun-size.
I am sure most trick-or-treating adults mean no harm by it, are sugar addicts, or miss being a kid. It bothers me when adults wear nasty costumes around when they know there will be children, though.