As for couples massage etiquette, it's fine to talk to each other through the massage if you want, or be quiet the whole time. It's really up to you.
Couples massage is a great way to introduce a partner who has never gotten a massage before in a way that makes them feel more comfortable the first time. Some men are apprehensive about getting a massage because of the nudity involved, and to have their wife or girlfriend there is reassuring.
Men usually discover that therapeutic touch is very relaxing and restorative. Once they experience a couples massage, they are more willing to book a massage on their own.
It can also be a good choice if you're traveling with someone you don't get to see often enough -- a sister, girlfriend, mom or best friends -- and you want to spend as much time together as possible.