No, u don't have to update your FW all the time. Its not smart to do it right away.
U should wait, and see if its buggy or not, and if there is a benefit for u.
Read the change log.
Sometimes its worth to do it, yes, but if u have no issues with your HW, leave it be.
It can bring u some issues.
If u have problems, than it is good idea to upgrade and see if its solved the problem.
So, not all updates are good.
And u should always back up your data, as it is bit risky, those updates ; )