No you don't. They just try to make you think that. You can tell it you don't want to install it, and to not ask you again and it won't. There is also a removal tool on the internet should it give you any trouble. You must be the last person on the planet running ME, that's how bad it was. More power to you if you have it running, but that thing was a dog! Of all the pi$$-poor things M$ has done over the years, ME has to be the lowest of the lows.
MS Bob, meet Space Wrangler. Mr. Wrangler, meet Bob.