No never. thermal paste is important for CPUs because both metal surfaces are not completely flat. so there will not be enough contact to transfer heat without the paste. especially if the heatsink is not machined well. Metal on metal is never sealed enough. It is the reason why gaskets were invented in cars. to seal the metal-metal contact of parts of the engine.
Edit: Just out of curiosity what happened to the thermal paste that intel pre-applied to the heatsink?
Should be. Take a look. if there is something that sticks out on the base of the heatsink that looks usually grey but discoloured from the rest of the heatsink metal then yeah. That would be the pre-applied stuff.