I wouldn't say "need" to, but it can't hurt and might be safer if you don't trust such a new wallet. On the other hand, I didn't bother, and had no problems (with a relatively small amount in the wallet to start with). And if you don't send the balance out of Electrum first, you save on BTC miner's fees, which could be considerable if your Electrum wallet has a lot of UTXOs.