As said, some PHYs may require an output inductor to avoid output stage saturation, particularly in 10 MBPS operation. But I guess, the method will work with most PHYs.
As a problematic point, the application report doesn't address the risk of PHY damage by common mode voltages in non-embedded applications. Obviously it's not sufficient to use capacitors with high voltage rating, because the capacitors will be charged/discharged when plugging the network cable. The energy stored in a 33 to 100 nF capacitor is far beyond the handling capability of built-in chip ESD protection.
While the solution is O.K. for interchip communication, it shouldn't be suggested for other cases in my view.