I mean, you don’t HAVE to. But you can pour some oil into the filter to pre-fill it so the oil doesn’t have to pump so long for the air you cycle out of the system, but the amount of time that happens for is so small it basically doesn’t matter. If the oil filter is easy to access and faces upward (the solid part faces the floor and open part faces up) then I would do it, but I wouldn’t do it in any other circumstance just to not have oil spilling and making a mess everywhere.
Youre not going to blow up the engine if you don’t. But it gives some people better peace of mind.