No, you don't have to hook up the vacuum control. If you drive in rural areas where there is very little other traffic, you will find the vacuum control very useful.
You don't have to do anything but put in the Euros to have a significant gain in lighting. In fact, when I get around to mine, I plan on doing the vacuum control, but stay with standard 55/60 bulbs. The standard bulbs have worked great on my 123 Euro lights.
Also, on my 123, I had to move the pins in the connector to accommodate the Euro lights. If this is necessary on the 124 light, I'm sure you will find specific information in the Star article.
'01 C Class, Six Speed
'84 Euro 240D, 523K miles
'88 300E 5 Speed
'81 300D Daughter's Car
Over 800,000 miles in