It's a good idea since thermal paste that's been disturbed often leaves little peaks and valleys. When mounting the cooler back down using the previous paste it's likely to get small air bubbles trapped that wouldn't otherwise be there on a more pristine install. The less air bubbles the better the heat can transfer. It also depends on the age of the thermal paste, many times the paste has been on there for awhile and it's just good practice to clean off the old paste and apply fresh for a clean install. I suppose you don't 'have to' but there's little reason not to.