Is there any point in stunning enemies that you already captured in an earlier mission, or are you better off just killing them?
Does it give you any benefits like money or research progress?
There is no reward for doing so. I have done this many, many times and on the mission summary screen it simply lists them as being destroyed.
However, as for the "are you better off just killing them" part of the question, the reason I've had this happen many, many times is that sometimes I find it easier to just toss a bunch of gas grenades into a UFO control room and wait for them to pass out rather than rush in guns-blazing. Plus, I'm less likely to damage valuable power sources and the like.
A special case is Sebillians. They recover HP rapidly, but don't recover from stun damage easily. It's probably easier to take them out with stun batons than shotguns.
Stunning grenade is a bit better than explosion grenade, as the equipment is not destroyed and you get money for it at the end of the mission. If stunning does not count as a kill, then it might have a downside as well.