I admit it is easy to lose track of which decoupling cap needs to go where.
Well I suppose a workaround in current release is to create a net for each MCU VCC, and use a net tie to connect it to main VCC. Then when you are placing a cap, the ratsnest at least shows which MCU VCC it associated with. That could in principle be done for each pin, but would get a bit tedious.
In principle, you could add a field which means "must be close to" and specify a footprint and pin. Then KiCad could display a line showing the distance (similar to rats nest), and the DRC could even check the distance.
I think this is a very specific use case, which only applies to decoupling caps. KiCad devs tend to prefer enhancements that are generally useful, so I'm not sure you would get much interest with this. Actually, this might be a good use case for a plugin script...