At some point you want to run a good spyware program.
But you don't need to have it running at the same time MSE is also running.
I also do an 'online scan' every other month of so, just to double check my installed AV isn't missing something.
malwarebytes does it already so you won't necessarily need another program for spy ware. But if you feel that you need another software, if something else works better for you... then it's really up to you.