It's strongly suggested, sometimes even mandatory. Think about it: one choice is "press play and... play", the other is 1) download 2)wait for the download to finish, sometimes even 200/300/500 MB", 3) install/run 4) Cross fingers that security is ok... it's just easier and easier is a good path for jams.
By the way, cool name, from the band? I downloaded it, should be able to give a feedback soon.