Some people might recommend it. I'm not that fussy. The pads should wear into the proper mating pattern with the rotor in short order. Just take it easy for the first number of stops. The rears aren't as demanding as the fronts for stopping.
Tip: Put a light coating of neversieze on the rotor mating surfaces before installation to help with rotor removal at the next brake job.
95 E320 Cabriolet, 131K